OpenVPN certainly does work. I have my Jolla C2 set up with ProtonVPN. I’d make sure you have set up an openvpn credentials file and that it is using that.
in the US you can send SMS messages but mobile data connection mostly crashes, sim disappears, it shows 2.5G as network indicator
I don’t think it was ever advertised as being able to support all the bands in the US, or really any support in the U.S. at all. It (well, the Reeder S19 Max it is a rebadge of) supports common bands 3 (1800 MHz), 7 (2600 MHz), and 20 (800 MHz) for LTE (listing those as they are used across both Europe and U.S.) but YMMV on which carriers in the U.S. support them and most importantly, where (geographically) those bands are supported. It’s not like an iPhone which designed to work across basically the widest range of bands around the world.