Hello datasleuth,
Here are some guesses based on information so far;
The message at least is clear; there was no connection possible on the address and port mentioned. Please check that vpn.<mydomain>.com resolves to the public IP address where your Access Server is supposed to be reachable, and that it isn't resolving to a private IP address, because that won't route on the Internet.
If
https://vpn.mydomain.com/ is working from outside your network and shows the Access Server web interface, then at least that port is forwarding correctly and is reachable correctly. You can instruct OpenVPN Connect to use TCP only and see if a connection can be established that way. If TCP works but UDP doesn't, maybe you just need to redo the port forwarding and check if there's some firewall in the router blocking things, or maybe the router have its own OpenVPN implementation and is blocking that port from being used.
Good luck,
Johan