Hi,
It could be that those pings are coming from failover services. You can turn them off by disabling failover feature.
http://192.168.1.1/cgi-bin/luci/admin/network/multiwan
Just disable the failover link here.
Also, you could just go to Network > WAN, select load balancing and select only one WAN that you're using, that should do the same thing.
You might also want to check if you have dynamic DNS service enabled (DDNS), this could cause some connections, pings too.
And of course, check your OpenVPN config if pings are happening within the OpenVPN connection - you could find something suspicious there too.
EB.