Ubiquiti has recently launchd a new major update for the UniFi Mobile Router, with support for an OpenVPN Client. This will allow you to route WAN traffic through the a VPN, such as OpenVPN. This version also allows you to turn on and off the WiFi from the LCM touchscreen and activate the VPN from the screen too. UMR 1.6.3 is available now, more information can be found on community.ui.com.
Ubiquiti is working on adding support for VPN with Ethernet WAN mode with 1.6.4.