Unfortunately it seems that Xhyve cannot connect to the Internet when traffic is routed through OpenVPN. Otherwise I would use it at my job. I tried https://github.com/coreos/coreos-xhyve, https://github.com/ailispaw/docker-root-xhyve and Veertu, and they all won't work.
Apparently is a known issue https://github.com/mist64/xhyve/issues/84 ; it might have to do with Hypervisor.framework