-  Use full path in setcommand
-  run screenin detached mode
-  use a case ... esacconstruct to make a start/stop script.
Maybe something like this:
#!/bin/bash
start(){
  status # Print IP before connection
  set -- /etc/openvpn/ovpn_tcp/*.nordvpn.com.tcp.ovpn
  shift $(( RANDOM % $# ))
  screen -S vpn -dm openvpn "$1" # connect
  sleep 5 # wait for connection
  status # Print IP after connection
}
stop(){
  screen -S vpn -X quit
  pkill -f ovpn
}
status(){
  printf 'IP: %s\n' "$(curl -s ifconfig.co)"
}
case "$1" in
start)
    if screen -ls | grep -w vpn; then
      echo "Vpn already connected";
      status
    else
      start
    fi
    ;;
stop)
    stop
    ;;
*)
    status
    ;;
esac
    
and then you can add this as an alias:
alias vpn='bash /etc/openvpn/ovpn_tcp/go'
Usage:
# Start connection
vpn start
# Stop connection
vpn stop
# get status
vpn
 As an alternative to an alias, you can put the script in your ~/bin, make it executable and add that directory to your $PATH.