The band structure of a type-II Weyl semimetal has pairs of electron and hole pockets that coexist over a range of energies and touch at a topologically protected conical point. We identify signatures of this Weyl point in the magnetic quantum oscillations of the density of states, observable in thermodynamic properties. Tunneling between the electron and hole pockets in a magnetic field is the momentum space counterpart of Klein tunneling at a p-n junction in real space. This magnetic breakdown happens at a characteristic field strength that vanishes when the Fermi level approaches the Weyl point. The topological distinction between connected and disconnected pairs of type-II Weyl cones can be distinguished by the qualitatively different dependence of the quantum oscillations on the direction of the magnetic field.