If this VPN appliance works with DNS, i.e. using domain names to establish the VPN tunnel, then you would find these domains in your stats, and you would be able to block them. If they work with other methods like IP addressing, maybe based on SRV DNS queries (OpenDNS does not block those queries as far as I know), then you cannot block it with OpenDNS.
If you have the proxy/anonymiser category selected for blocking, this could prevent people from downloading the VPN client from these web sites, and in an ideal case also the VPN server domains, given that all these are categorized already.
One thing is for sure: once the VPN tunnel is established, OpenDNS is no longer being used, so nothing will be blocked or logged by OpenDNS.