Varnish is distributed in the OpenBSD ports collection as ‘www/varnish’:
pkg_add varnish
cd /usr/ports/www/varnish make install
Copyright © 2006 Verdens Gang AS
Copyright © 2006–2020 Varnish Software AS
Licensed under the BSD-2-Clause License.
https://varnish-cache.org/docs/6.5/installation/install_openbsd.html