No, it is not necessarily continuous on an open neighborhood. We have counterexamples already for $n=1$.
First, let $g$ be differentiable on $\mathbb R$ with $g'$ bounded near $0$ but discontinuous at $0$ (see e.g. this answer for an example). By multiplying by a bump function and scaling if necessary we may assume $g\equiv 0$ on $\mathbb R\backslash (-1,1)$, and $g(x)\leq 1$ and $g'(x)\leq 1$ everywhere.
Then let $x_i\to 0$ be a sequence, with each $x_i$ distinct, so there are $r_i>0$ for which $(x_i-2r_i,x_i+2r_i)$ are pairwise disjoint and do not contain $0$. Note that we then have $r_i\to 0$ as well.
Let $h_i(x)=r_i^2 g(\frac{x-x_i}{r_i})$, so that each $h_i$ is supported on $(x_i-r_i,x_i+r_i)$, and let $h(x)=\sum_i h_i(x)$. Then clearly $h$ is differentiable everywhere away from $0$, and moreover, at $0$ we have, for $x\in (x_i-r_i,x_i+r_i)$, $r_i\leq |x-0|$, so
$$|h(x) -h(0)|=|h(x)-0|\leq r_i^2 \leq r_i|x-0|$$
and for $x$ anywhere else we have $h(x)=0$, so $h$ is differentiable at $0$ with $h'(0)= 0$. Moreover, $|h'(x)|\leq r_i$ for $x\in (x_i-r_i,x_i+r_i)$, and $h'(x)=0$ elsewhere, so $h'$ is continuous at $0$.
However, $h'$ is not continuous on any neighborhood of $0$, since each such neighborhood contains an interval $(x_i-r_i,x_i+r_i)$, on which $h'$, a scaled and translated version of $g'$, is not continuous at $x_i$.
The function $f=h'$ is therefore a counterexample to your question.