Hello Peter,
It is a little to answer, but maybe it will help you (?).
It seems like the problem is that is does not find SHA1, because OpenVPN is using MD5.
The way that worked for me:
Install the FIPS Object Module from OpenSSL
Install OpenSSL with ./config fips --with-fipsdir=<path> (as you did I believe)
Apply the openvpn-fips patch from here:
https://build.opensuse.org/package/show/network:vpn/openvpn to your openvpn folder
Add the code FIPS_mode_set(1) as you did and just compile and install.
It works for me! =)
Best,
Quentin