Okay I have been looking into this. What I found was that there is no easy way to get this kind of setup working with Hotspotshield.
If you want to establish an Openvpn connection from your pfsense router directly, I can recommend Private Internet Access.
The setup on a pfsense router is officially supportet. A guide can be found here: https://www.privateinternetaccess.com/pages/client-support/#pfsense_openvpn
The problem with this official guide is that it was written for an earlier version of pfsense. For the Version 2.0 or later, I can recommend this one: https://support.privateinternetaccess.com/index.php?/Knowledgebase/Article/View/29/7/pfsense-20
I hope this helped someone.