Redirect OpenVPN gateway traffic to Privoxy
Solution 1:
You can push proxy configuration to the OpenVPN clients.
From the OpenVPN Access Server web interface go to Advanced VPN Settings → Server Config Directives and enter the following directive with your proxy ip/port info.
push "dhcp-option PROXY_HTTP 111.222.333.44 8118"
I am not sure if all OpenVPN clients support this config. But on IOS it works well.
Solution 2:
Privoxy is an HTTP proxy. What you're trying to do is feed it intact network packets, which I'm 99% sure it's not going to accept that without some very complex mangle rules in iptables. Instead you should expose the proxy to the VPN (seems like it is already), and push it as a DHCP option to your VPN clients.
Instructions for doing that via OpenVPN can be found here https://forums.openvpn.net/topic14829.html and it can be done on a client-by-client basis using the ccd directory if you have that set up.
Solution 3:
Set up privoxy to listen on an address on the tunnel interface, for example 172.26.0.1, then just redirect VPN traffic to it:
sudo iptables -t nat -A PREROUTING --source 172.26.0.0/16 -p tcp -m tcp --dport 80 -j DNAT --to 172.26.0.1:8118