how to add malware dns file to OpenVPN server via iptables?

Seems like it ought to be doable. Will just mention that it may be worth looking into ipset (http://ipset.netfilter.org/) to handle the list of IPs, then reference that ipset in an iptables rule.

I've used ipset for quite awhile, but not to update blacklists. I've been using the code on https://gist.github.com/klepsydra/ecf975984b32b1c8291a for the past year. I tried the alternative code by d–j using ipset suggested on that page, but it never has worked properly.

This does not seem to work. I picked a few IPs that are in my DROP list in my Linode iptables, e.g., iptables -w -L -v -n, and my clients that use my Linode OpenVPN server can still access those IPs in browsers.