After downloading the ZIP file, I extracted the hma-openvpn.sh file, marked it as executable, and I was ready to go.
For the record, I HATE having to use the new Dialog script. I would much sooner use the old script rather than jump through a bunch of dialogs.
UPDATE: After looking through the hma-openvpn.sh script, I was able to figure out what it was running. I downloaded the appropriate ovpn file from https://www.hidemyass.com/vpn-config/TCP/ and then run the following script:
openvpn --script-security 3 --config SCRIPT_TCP.ovpn