Proxy in the Middle instead of OpenVPN

I've been using OpenVPN to connect to my VPN server for a while but lately we have changed and installed a Squid server on the office and I would like to know if there is a way to replace OpenVPN client with a Proxy Client to route traffic

I'm not sure if this is even possible, but just wondering how I could accomplish this.

One thing is that you cannot pass all protocols over squid. But you can tunnel everything through OpenVPN or other VPNs.
Second, it's not obvious what is your goal here, as I understand that you run OpenVPN over the air between your PC and OpenWrt, which I would expect to see in case of an unencrypted WiFi connection. In that case the proxy won't do more good necessarily.

Good point, I did not consider that.

I was thinking of full replacing the OpenVPN with a SOCKS5 Proxy served via squid, so I can proxy both UDP and HTTP petitions coming from the OpenWRT router I show in the image.

Again it depends what you want to pass through the tunnel.
If it works and you don't need to change it for some reason, leave it as it is.
If you want to have something faster, use Wireguard in place of OpenVPN.
Personally, I would use squid/socks only if I could not use a VPN.

The thing is that I need to switch between multiple proxies over time, so basically I don't have access to OpenVPN location

This is why I'm trying to identify how to implement this on my router, substituting my OpenVPN client. Not sure if there is a guide or something on this aspect. I've found some squid proxy server guides, but this is for using the SOCKS5 proxy, as a client and routing all traffic to the the radio0 following the diagram above.

I am more confused now. Let's try this from scratch.
What is the problem that you are facing?

I simply want to replace OpenVPN client with a SOCKS5 proxy client. All the UDP/HTTP traffic that comes through OpenWrt should go thought that SOCKS5 client

Currently is going through OpenVPN client

The problem is that I don't find a straightforward guide or tutorial to setup this SOCKS5 based-implementation

This is what you want to do, not what is the problem.
Anyway, if you don't want to explain it, you can have a look at some wiki entry for shadowsocks, or play with socksd and socksify packages.

Im going to check shadowsocks and see if i can set it up, thanks
I was also thinking if I could set an Open VPN server on the cloud, and see if I could configure it to use the proxies just for UDP and HTTP protocols, but this goes beyond this forum scope since I would only need to configure in my OpenWrt the OpenVPN server parameters.