I have found a way to bypass this restriction on DIR 615, firmware 3.11NA.
Install firebug addon for firefox.
Load the routing page in firefox. Right click on the WAN droplist (there should've also been a LAN here) and select Inspect Element.
This line will appear in the firebug window:
[ + ] <select style="width: 90px;" id="interface0" name="interface0">
Press the [ + ] so you can see this:
<option default="true" value="WAN">WAN</option></select>
Change that to this:
<option default="true" value="LAN">LAN</option></select>
Now press 'save settings' in the router page.
Done.
You can check if it worked for you by powercycling the router, loading the Routing page, right click, view page source, scroll down and look up this line:
<input type="hidden" id="static_routing_00" name="static_routing_00" value="1/xxxname/192.168.xxx.x/255.255.255.252/192.168.xxx.x/LAN/1">
As you can see there's LAN written there, not WAN.
It has worked for me and hopefully it will work for you. My OpenVPN now works.
Cheers.