In your diagram pfsense has ZERO to do with your client running openvpn and connecting to some outside vpn server? Zero!!
Unless pfsense is blocking the port your wanting to connect to the vpn server on, default UDP 1194 pfsense has nothing to do with it. Did you modify the default lan rules? because out of the box they are any any and that client would be allowed to do anything it wants outbound to the internet..
Are you wanting instead this configuration?
0_1539079606124_vpn.png
Where pfsense is the client to the vpn server, and 1 machine or multiple machines behind pfsense can be used to use the vpn to go to sites on the internet, while other machines just go out the normal internet?