You can password protect your key file so that ed an extra password is needed to connect with openvpn. It will also work with embedded certificates in .ovpn
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Run the following to add a password to your existing keyfile.
openssl rsa -aes256 -in your.key -out your.encrypted.key
A password protected file looks almost the same as an normal private key. but includes what type of encryption the file has been given.
-----BEGIN RSA PRIVATE KEY----- Proc-Type: 4,ENCRYPTED DEK-Info: AES-256-CBC,EE27A0FAB676201D1330339B91C620B4 .... -----END RSA PRIVATE KEY-----