dazo
There are no officially supported wince versions of OpenVPN available. But somebody have done it years ago (google it), but don't know how old that version is - and if it still works. But please make sure you at least use a 2.1.4 release or preferably a 2.2.2 release if you find something.
The rest of the question I don't understand, as openvpn has nothing to do with Bluetooth and providing Internet connectivity. Internet connectivity is a must for OpenVPN to function.