Yes it can be done. I found that the best way to do so was to create a VM and install freebsd 11 in it. You then need to create an NFS share for your media folders on the NAS host and export to the VM and mount it in the VM. In doing so you need to ensure that user IDs are conserved on the host and VM to minimize permissions problems. That is if the media folders are owned by, for example, 1001/1001 (UID/GID) on the NAS host the VM should have corresponding IDs. You can use the feature on the host NFS share configuration to force all writing on the host side to be done as a specific UID/GID to further ensure that everything is owned by the same UID/GID on the host and VM. This further minimized the possibility of permissions problems.
Once you've done that, you can then install sab, sonarr, radarr, etc in the VM.
Then you can install and configure openvpn to connect to your VPN provider. The trickiest part was configuring firewalls to ensure that if the VPN interface goes down nothing pass through