Unless I've misunderstood your original request, no, you don't need anything like that.
This is assuming you're talking about having remote access OpenVPN clients connect to both your WANs and use Multi-WAN for their Internet-bound traffic coming across the VPN:
a: Make sure clients can connect to both WANs:
1. Set the Interface for the VPN to Localhost
2. Add port forwards to both WANs to forward your OpenVPN port for this server to localhost (127.0.0.1) on the same port
b: Use gateway groups on OpenVPN rules:
1. Firewall > Rules, OpenVPN tab
2. Add a rule at the top of the list to match from a source of this server's tunnel network, destination is your local LAN, without a gateway set
3. Add a rule just under the previous rule to match from a source of this server's tunnel network, destination is "any", using your existing gateway group.