You can configure data sources from within your test case (avoiding the need for an openejb.xml entirely) like so:
Properties p = new Properties();
p.put(Context.INITIAL_CONTEXT_FACTORY, "org.apache.openejb.client.LocalInitialContextFactory");
p.put("myDataSource", "new://Resource?type=DataSource");
p.put("myDataSource.JdbcDriver", "org.apache.derby.jdbc.EmbeddedDriver");
p.put("myDataSource.JdbcUrl", "jdbc:derby:derbyDB;create=true");
Context context = new InitialContext(p);
Note, this only works when using the LocalInitialContextFactory to embed OpenEJB into the vm. Once embedded, further configuration properties are ignored.
See Containers and Resources for a full list of supported Resource types and their properties.