How to allow programs to connect to an Ubuntu port?

Question

ubuntu

Good afternoon.
There is an OpenVPN server (1194 port).
There is a Windows system where there is an OpenVPN client and it is connected to a vpn server.
There is another Windows system where a certain program is installed, which must connect by ip:port. I set the IP of the VPN server (because it is connected to the VPN on the first Windows machine) and a random port (any one is allowed there).
But looking at Wireshark, the connection is not established, everything is dropped.
If you look at various sites (under VPN), then the port specified in the program is closed.
How to be?