I want to have two computers talking to one another over OpenVPN, such that "the data is to never [have to] leave the target computer." I seem to be having difficulty in that the TUNx device wants to send data out of the box, bounce through an external router, and come right back in.

Basically, if I have a VM with a "host-only network," I want the incoming VPN traffic to go to that network (from an OpenVPN server that is, indeed, "running on the same box." Then, I want the outgoing traffic from the VPN to take the same path back to OpenVPN to head back to its destination: "the data never leaves the box." route commands "on the box" send the data where it needs to go.

Advice on how to do this?

The tun device doesn't want to send any packets anywhere. That's done by the network routing layer. Post the output of route and describe your network.