I did setup an OpenVPN server, which works fine and the IP of the server shows instead of my machine's IP.
I am using this VPN to connect to EC2 instance, and restricting access to only instances within the same VPC, for all ports including HTTP, HTTPS & SSH.
To do so, in the inbound rules I set to only accept connection from the VPC CIDR. However whenever I try to open that server, it doesn't work and I get site can't be reached.
PS: The server used to work fine, before I restrict the access from AWS Cloud Firewall.