To answer my own question, in the hope that maybe it helps someone else...
So I tried
- openwrt
- dd-wrt
- tomato
- merlin
Finally I found Merlin. Merlin let me configure OpenVPN with a .ovpn file.
There is an option "Redirect Internet Traffic" you can set to "Policy Rules"
You can use CIDR notation to specify all client IPs on the subnet, e.g. 192.168.1.0/24, destination 0.0.0.0
And you can select "Block routed clients if tunnel goes down"
See also: https://www.snbforums.com/threads/vpn-what-does-redirect-internet-traffic-all-do.56145/
Also search for: killswitch