Tested on Proxmox VE 4.1 (pve-manager/4.1-13). Replace $CTID with your container ID throughout.

Stop the container

pct shutdown $CTID

Create autodev hook

cat > "/var/lib/lxc/${CTID}/autodev" <<'EOF'
#!/bin/bash
set -e
cd "${LXC_ROOTFS_MOUNT}/dev"
mkdir -p net
mknod net/tun c 10 200
chmod 0666 net/tun
EOF
chmod +x "/var/lib/lxc/${CTID}/autodev"

Extend LXC config

Append to /etc/pve/lxc/$CTID.conf:

lxc.cgroup.devices.allow: c 10:200 rwm
lxc.hook.autodev: /var/lib/lxc/$CTID/autodev

Start and verify

pct start $CTID
# inside the container:
ifconfig | grep tun

You should see a tun0 (or similar) interface after OpenVPN starts.

Reference