The easiest way to do that is to use MobaTerm, which is a terminal and an X server in one: https://mobaxterm.mobatek.net/. - Source: Reddit / 11 days ago
Tunnelblick - free software for OpenVPN on OS X and macOS
PuTTY - Popular free terminal application. Mostly used as an SSH client.
OpenVPN - OpenVPN - The Open Source VPN
ConEmu - ConEmu-Maximus5 is a full-featured local terminal for Windows devs, admins and users. Get better console window with tabs, splits, Quake style, copy+paste, DosBox and PuTTY integration, and much more.
WireGuard - Fast, Modern, Secure VPN Tunnel
iTerm2 - A terminal emulator for macOS that does amazing things.