This has absolutely nothing to do with OpenVPN, so I don't even know why you are asking this here. But I'll be the helpful guy and point you to some resources that may help in figuring this out.
https://stackoverflow.com/questions/34928228/failed-to-add-the-host-to-the-list-of-known-hosts-how-to-debug
https://stackoverflow.com/questions/27714857/ssh-failed-to-add-the-host-to-the-list-of-known-hosts-openshift
https://stackoverflow.com/questions/17668283/failed-to-add-the-host-to-the-list-of-know-hosts
And that's just 3 Google results I found. It's all related to some problem in your Linux client machine. Good luck.