You can try the below command:
az network vnet-gateway create \
-n VNet1GW \
-l eastus \
--public-ip-address VNet1GWIP \
-g TestRG1 \
--vnet VNet1 \
--gateway-type Vpn \
--sku VpnGw1 \
--vpn-type RouteBased \
--address-prefixes 192.168.0.0/24 \
--client-protocol OpenVPN
After that, you need to attach the certificate:
az network vnet-gateway root-cert create -g TestRG1 -n vpncliCert --gateway-name VNet1GW --public-cert-data path/to/your/certificate
Once done, now you can able to download the VPN client to use it.
I hope this will help.
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