You don't necessarily have to combine your normal password and the 2FA token every time. OpenVPN supports a separate challenge-response authentication method, where the VPN client can display an additional prompt for the one-time code instead of requiring users to manually edit their password.
The important part is how Sophos UTM handles authentication. It needs to support and be configured for a separate OTP challenge, and the VPN client must also support displaying that challenge. OpenVPN's challenge-response protocol supports both static and dynamic challenges, so this is not a limitation of the OpenVPN protocol itself.
I'd recommend checking the [https://openvpn.net/community-docs/management-interface/] to understand how the separate authentication prompt works.
One thing worth checking with your administrators is whether the Sophos UTM authentication backend can issue a dynamic challenge and whether the particular client being used can display it. If the current Sophos configuration only supports password-plus-OTP authentication, changing the client alone won't solve the issue.
It would be worth testing this with a separate challenge-response configuration before changing the existing VPN authentication setup, especially if you want a smoother and more convenient 2FA experience.