Download the OpenVPN config file from TryHackMe. Open it in a text editor.

Add the following line under cipher AES-256-CBC: data-ciphers AES-256-CBC.

Save the file and try again with OpenVPN.

Now I can start the machine in any TryHackMe room and ssh into it from Terminal on Windows. E.g., sudo ssh tryhackme@10.10.142.22

Shout out to u/Horror-Parsnip-4395 for posting the answer.