How to install PAM for OpenVPN server?

As steeldriver's comment says, you can check the package listing to find the file. This can also be done using the Package Index (https://packages.ubuntu.com). For example:

  • 16.04 (xenial) has the file at /usr/lib/openvpn/openvpn-plugin-auth-pam.so, but
  • 18.04 (bionic) has the file at /usr/lib/x86_64-linux-gnu/openvpn/plugins/openvpn-plugin-auth-pam.so (for amd64/x86-64).