/etc/config/vpn-policy-routing:

config vpn-policy-routing 'config'
	option enabled '1'
	option verbosity '2'
	option ipv6_enabled '0'
	option dnsmasq_enabled '1'
	option strict_enforcement '1'
	option udp_proto_enabled '0'
	option forward_chain_enabled '0'
	option input_chain_enabled '0'
	option output_chain_enabled '0'
	option ipset_enabled '1'

config policy
	option comment 'Xubuntu15'
	option local_addresses '7.22.4.8'
	option interface 'wan'

Output of /etc/init.d/vpn-policy-routing reload:

Creating table 'lan/br-lan/7.22.4.1' []
Creating table 'vpn0/tun0/10.4.0.1' []
Routing 'Xubuntu15' via wan []
vpn-policy-routing 0.0.1-14 started on lan/br-lan/7.22.4.1 vpn0/tun0/10.4.0.1 with errors []
ERROR: policy 'Xubuntu15' has an unknown interface: wan!

Section of system log (shows name of wan interface):

Sun Jan 21 14:54:35 2018 daemon.notice netifd: Interface 'wan' is now up
Sun Jan 21 14:54:36 2018 daemon.info odhcpd[1309]: Using a RA lifetime of 0 seconds on br-lan
Sun Jan 21 14:54:36 2018 kern.info kernel: [   16.857046] br-lan: port 1(eth0) entered forwarding state
Sun Jan 21 14:54:36 2018 kern.info kernel: [   16.927479] br-lan: port 2(wlan0) entered forwarding state
Sun Jan 21 14:54:38 2018 user.notice vpn-policy-routing [1382]: Creating table 'vpn0//7.22.4.1' [✓]
Sun Jan 21 14:54:38 2018 user.notice vpn-policy-routing [1382]: Routing 'Xubuntu15' via wan [✗]
Sun Jan 21 14:54:38 2018 user.notice vpn-policy-routing [1382]: service started on lan/br-lan/7.22.4.1 vpn0//7.22.4.1 with errors [✗]
Sun Jan 21 14:54:38 2018 user.notice vpn-policy-routing [1382]: ERROR: policy 'Xubuntu15' has an unknown interface: wan!
Sun Jan 21 14:54:38 2018 user.notice vpn-policy-routing [1382]: service monitoring interfaces: lan vpn0 [✓]