Well, OpenVPN only really matters if you are going to pipe large amounts of data across a vpn, or do site to site connections. If you do it from client machines it is less of problem (I am considering using my linux server to vpn through the pfsense box to another endpoint).
Why the aversion to running 2 VMs on the same machine? There are plenty of good hypervisors that pfsense will play well with. (proxmox, esxi, xen.. to name a few) - this will enable you to use whatever software you want.
What is the purpose of doing what you are intending? (fun doesn't count for a setup this complicated)