I don't think it is a firewall issue since Windows OpenVPN clients works OK with the NAS Shares.
You asked following:
Does the NAS user have the right to access NFS shares?
NAS users have nothing to do with NFS mount.
In NAS I have specified which hosts have access rights to its shares.
Did you allow the traffic in it's firewall?
Yes ... since Windows OpenVPN clients can access the NAS Shares.
Have you tried disabling it's firewall?
Don't quite understand what you mrean.
The OpenVPN Server runs inside pfSense as a module.
I still belive that it is a NFS & OpenVPN issue ...