What shows up in your /var/log/messages in the jail when you execute service openvpn start inside of the jail?
I just get that same message, this is the whole log from the jail:
Nov 18 09:03:34 Transmission-VPN openvpn[6436]: OpenVPN 2.4.6 amd64-portbld-freebsd11.2 [SSL (OpenSSL)] [LZO] [LZ4] [MH/RECVDA] [AEAD] built on Oct 2 2018
Nov 18 09:03:34 Transmission-VPN openvpn[6436]: library versions: OpenSSL 1.0.2o-freebsd 27 Mar 2018, LZO 2.10
Nov 18 09:03:34 Transmission-VPN openvpn[6437]: TCP/UDP: Preserving recently used remote address: [AF_INET]{IP ADDRESS REMOVED}:1198
Nov 18 09:03:34 Transmission-VPN openvpn[6437]: UDP link local: (not bound)
Nov 18 09:03:34 Transmission-VPN openvpn[6437]: UDP link remote: [AF_INET]{IP ADDRESS REMOVED}:1198
Nov 18 09:03:34 Transmission-VPN openvpn[6437]: WARNING: this configuration may cache passwords in memory -- use the auth-nocache option to prevent this
Nov 18 09:03:35 Transmission-VPN openvpn[6437]: [a222743srhe38nds9djkcn9a2ns82psj29s16a] Peer Connection Initiated with [AF_INET]{IP ADDRESS REMOVED}:1198
Nov 18 09:03:41 Transmission-VPN openvpn[6437]: GDG: problem writing to routing socket
Nov 18 09:03:41 Transmission-VPN openvpn[6437]: Cannot allocate TUN/TAP dev dynamically
Nov 18 09:03:41 Transmission-VPN openvpn[6437]: Exiting due to fatal error
I've also just now gone through and created the jail from scratch under 11.2 RC2 just in case that was the issue.
So I created the jail, installed and configured OpenVPN, set allow_tun=1 for the jail, rebooted the whole FreeNAS system to be sure, checked using "iocage get allow_tun {jailname}" to make sure it's still set to 1 which it is, then started the jail and I get the error above when starting the service.
I must be missing a step somewhere, but I'm not sure where exactly.