There’s built-in OpenVPN GUI in CyanogenMod since v4.2.15 and it’s poorly documented. When adding new VPN connections you have to tell which key you want to use and you can’t load anything from files. You have user.crt, user.key and ca.crt files generated with OpenVPN’s easy-rsa scripts. You can’t use them directly, you have to bundle certs and key into PKCS12 file. Here's how.