Hi all,
I reported the same issue some time ago:
https://forums.openvpn.net/viewtopic.php?f=36&t=25793
I can confirm the data definitely goes over the cellular connection instead of Wifi (confirmed by both Settings -> Mobile Data -> Data Usage and by my telco's usage app).
I tested many,
many different variations of VPN client/server configs and iOS VoD mobileconfig profile configs in an attenpt to resolve this issue... unfortunately without success. The next troubleshooting step is probably to check the console logs but that requires Xcode and I don't own a Mac.
For what it's worth, I think this might actually be an iOS bug rather than an OpenVPN Connection bug. There are similar reports on a number of other sites - for example:
https://discussions.apple.com/thread/7921902
https://discussions.apple.com/thread/8116153
https://www.privateinternetaccess.com/forum/discussion/22564/enabling-pia-vpn-disconnects-wifi
I did report this via the Apple Feedback form, but in my experience that channel never gets any traction. If anyone knows a better way to report this to Apple, it would be much appreciated!