For firestick you need to sideload the openVPN app and setup the VPN connection manually.
First, you need to install openVPN for android app, you may follow the guide here for installing apps in your device: https://www.howtogeek.com/216386/how-to-sideload-android-apps-onto-your-amazon-fire-tv-and-fire-tv-stick/
You can download the .apk file of OpenVPN for android app here: https://drive.google.com/file/d/0B9yotEcq1Xi0MG4zaVljZFBpZmc/view?usp=sharing
You may follow the instructions on the link below to configure openVPN once you have installed the app:
The updated list of our config files can be found here: http://www.proxpn.com/updater/locations.html
After configuring openVPN restart the device then connect.