Managed to solve outgoing pings with an explicit allow ICMP echo request on the tunnel interface, seems those were being blocked even though I have an allow * on the LAN.
I'm still seeing echo reply being sent out my WAN if I ping the tunnel IP externally. Is there any way to have a rule apply to packets coming from the pfsense box itself and set the gateway if src==tunnel ip?
Since everything else seems to be working now, I can live without external ping.