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)".
The name field should match your group attribute on Okta (e.g. group or role).
Name format field can be left as "Unspecified".
Filter field should be set to "Equals" and the value on it should match your group name on Okta.