Yes it should be possible, although somewhat challenging.
If this device acts an an ethernet interface that is behind windows, then you are probably going to want:
- Create a network namespace
- Put an openvpn in that network namespace (and have that be the only route out)
- Put the ethernet interface in that network namespace as well
This is the first solution I can think of, off of the off my head, provided that the external device is actually pretending to be a network interface you are connecting.
In addition to that, you will likely have to create a custom service to recreate this setup on boot. The tools for managing linux firewalls and network namespaces independently of abstraction layers aren't great.
Alternatively, if you are actually running an app that is connecting to that device via USB or the like, you can run that app within a network namespace to force traffic through the VPN. But the steps and solution would be similar.