If you have an HP computer and encounter a strange issue where your WiFi drops when you connect to a VPN server, it is very possible your computer uses a service called HP LAN/WLAN/WWAN Switching UWP Service or LanWlanSwitchingService. This is a service HP use to preserve battery, and makes perfect sense outside of situations where you want to connect to an OpenVPN server.
This service works by looking at your currently active network connections, and when it detects a new network connection, it automatically disables your other network adapters. While this works fine when switching from Wi-Fi to a network cable, it causes issues when connecting to a VPN since it disables your current Wi-Fi or cable connection (which the VPN need to communicate over.
In order to fix this issue, you need to do two things. First, you need to kill the process responsible for switching the network adapters off. Secondly, you need to disable it so that it doesn't automatically start again when you reboot your computer.
Once that is done, restart the OVPN client and try to connect again.