I'm trying to run an Openwrt in RouterOS, because some ad-free applications depend on Openwrt to run.
However, the container shares the host's kernel, and the routeros's kernel lacks ip_set and xt_set modules.
It is a bit unrealistic to expect Mikrotik add kernel modules to RouterOS, so is there any way to make the container use the kernel of the image itself?

No. Containers are not VMs.