When I changed it to executable, I got this from the server:
/etc/openvpn/vpn_auth.sh: line 11: mysql: command not found
WARNING: Failed running command (--auth-user-pass-verify): external program exited with error status: 1
That line is this:
sqldtb=`mysql -u $DBUSER -p$DBPASS -D $DBNAME -h $DBHOST --skip-column-name -e "SELECT * FROM wp_users WHERE ( (user_login = '$vpndtb') AND (user_pass = PASSWORD('$dtb01')) );"`
I think there is something wrong with that line.
Edit:
I installed MySQL but did not run it. Now the error is only this:
WARNING: Failed running command (--auth-user-pass-verify): external program exited with error status: 1