The tutorial section you referenced includes:

We can start with all of the files that we just generated. These were placed within the ~/openvpn-ca/keys directory as they were created. 

When the instructions use ~ in ~/openvpn-ca/keys the ~ references the current user’s home directory (it’s a nice little shortcut to have). If you logged in as root this should translate to /root/openvpn-ca/keys or if you are logged in as a different user it would be /home/usrename/openvpn-ca/keys.

The first set of commands in this step has you copy these keys into the /etc/openvpn directory.

If you are logging in with Filezilla you will start out in your user’s home directory ~ but should not be locked in there. Clicking on .. at the top of the directory listing will move you up a directory to / and from there you can navigate to /etc/openvpn