I would say no on the OpenVPN support built-in as that's opening a whole extra can of worms that can be easily accomplished using a router such as pfSense. You can assign a docker an individual IP address, and in <insert preferred OSS routing platform>, initiate the VPN connection, and then set up rules to route all of it's traffic requests out that VPN gateway instead, getting the same effect, without the added complexities to the docker.
I have found a way to get Locast2Plex working under unRAID's docker successfully!
You'll need Community Apps plugin, and in it's settings, enable searching dockerHub for additional content.
Go to Community Apps, search for "locast2plex", it'll return no results, but there'll be a link to Search dockerHub, click it. We'll be installing tgorg's version here (should be first one to come up). You'll need to define the docker template by hand here following this guide;
Set Network Type to Custom: br0 (we need to assign this Docker it's own IP, the cross-docker port access does not work correctly), set an unused local IP address in your network, remember this IP address, we need it later. I also set my copy of this image to Privileged, though I'm not sure it's fully required in this instance.
These steps below no longer appear to be valid, please read 2nd page of this thread for more information!
Add Variable, Name "Locast Username", Key: "username", Value: (Your Locast.org login email)
Add Variable, Name "Locast Password", Key: "password", Value: (Your Locast.org login password)
Add Port, Name "Discovery Port", Host Port: 6077, Connection Type: TCP, Description: "TCP HomeRun Discovery Port"
Add Port, Name "Service Port", Host Port: 1900, Connection Type: UDP, Description: "MPEG Transport Service Port"
Add Variable, Name "External Address", Key: "external_addy", Value: (The custom IP address you assigned earlier)
Add Variable, Name "External Port", Key: "external_port", Value: 6077
Add Variable, Name "Enable Debug", Key: "debug", Value: "yes"
After building the container and firing up, you should be able to hit the IP on port 6077 in a browser (http://192.168.X.X:6077/) and get a quick XML file defining an emulated HDHomeRun device. This means we should be able to do a search in Plex to find it successfully, though you may need to use the IP and port to define the tuner manually if the automatic search does not discover it. Otherwise, everything's working as expected, coming through quick and easy, my guide is already filled and ready to go (about 60 channels in my area).
Good luck everyone!