Using the iOS keychain to store your private key has the added security advantage of leveraging on the hardware-backed keystores that exist on many iOS devices, allowing the key to be protected by the iOS-level device password, and preventing key compromise even if the device is rooted.
If you already have your client certificate and private key bundled into a PKCS#12 file (extension .p12 or .pfx), you can import it into the app private section of the iOS Keychain using Mail, Safari or iTunes. Note sure that the file extension has to be changed to .ovpn12 for the file to be picked up by the OpenVPN Connect App (and not by iOS).
Note that on iOS, when you import a PKCS#12 file into the Keychain, only the client certificate and private key are imported. The CA (certificate authority) certificates are NOT imported (unless you manually extract the CA certificates and import them separately, one-at-a-time). Therefore, the CA list must be given in the profile using the ca directive. If you already have a PKCS#12 file, the CA list may be extracted from the file using this openssl command, where the CA certs in client.p12 are written to ca.crt: