Update:
2 reasons cannot do that.
1) The DNS server (is a private address) and is only accessible once the OVPN is connected.
2) Even if I made PiHole accessible as a public resolver [which I do not want to do] and put up the address as the WAN server; this means that other devices that are not supposed to go through the VPN tunnel will also be using this DNS address and will also then use PiHole blocking. <
These are the very clients that I do not want to be blocked, hence they are not routed through the VPN>
I can confirm though that by setting the WAN DNS to public PiHole server address; I am able to see the clients IP addresses & MAC addresses. So it does prove that my setup (at the router and PiHole end) is working.
Now it is a matter of finding how to get OVPN traffic to also send add-mac and add-subnet and respect the dnsmasq flags.