the OpenVPN Connect client is the commercial client, which is not officially supported on this forum. It does work in conjunction with an open source openvpn server, but questions related to support should be asked to the OpenVPN Access Server Tech Support.
The "regular" OpenVPN GUI is capable of connecting via an HTTP proxy; try adding
http-proxy <host> <port>
to the client configuration file and make sure you use 'proto tcp' as well.