I have no experience with such a setup, so take that with a little grain of salt, but I’m pretty sure that won’t work, at least not the normal way, as that would require your headset to be connected to the cloud PC.
In a more limited way you should be able use vorpX’s ‘Generic Headset’ and ‘Generic 3D Display’ modes, which show the final image on the desktop, together with some stereo viewer app on your local machine. There won’t be any head tracking without additional software that way though, also several DirectVR functions aren’t available in these modes and on top of that the cloud PC latency (lag) would probably ruin the experience anyway.
Theoretically it’s possible to create a client/server solution (similar to using ALVR or Virtual Desktop with vorpX locally), but I don’t think any of these can handle your use case currently. Also the latency issue would remain, of course.
TLDR: vorpX (and VR In general) with a cloud PC won’t really work, at least not as one would expect it to work.