If you want to map OKTA groups to OpenVPN groups, using SAML, you can accomplish this by following the solution below:
Add "Group Attribute Statements" by going to Admin → Applications → Your Application → General → Click Edit next to "SAML Settings" → Click Next and now add the attribute on the "Group Attribute Statements (optional)".
Use the Regex filter, for example:
Matches Regex: .*GroupA.*|.*GroupB.*|.*groupC.*|.*groupD.*
This will send the groups Group A and Group B, and others within a single Attribute value (Groups).