Of course : I have tried to produce the same conditions you currently have so I have installed OpenVPN client on a phone. Created a free account at
https://www.privatetunnel.com/index.php so I had a login and password.
Next, I have installed a small web server app I had and displaying a simple "Hello world" html page.
For my first test, I have disconnected the smartphone from the WiFi and was connected to data (to be sure to be behind a proxy, like you). I have connected the OpenVPN client and got an IP at San Jose, CA (I am in Portugal). I browsed from my PC to the VPN IP and port I had set (port 8080) and saw my Hello World page (but the first time only) :-(