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How can I find out where a UDP connection fails?

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I want to setup a VPN server with OpenVPN, so client PCs can access each other like they were in the same physical network.

One problem I encountered is, that I cannot connect via UDP. When I change server+client configuration to use TCP connections, clients can successfully connect to the server. I read TCP over TCP is bad and incurs a lot of overhead.

The server is behind a router with a public IP and the server's IP is configured to be in the DMZ of the router.

Is there a way I can test where the connection fails when using UDP? At the client's router, at the client's ISP, at my router, somewhere else? Is such a setup even possible with UDP or do I have to resort to TCP?

If I missed essential details, let me know and I'll be happy to add them.


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