I notice you didn't mention what browser you are using.
I found that (on my Linux desktop) while using the Chromium browser ads would not be blocked, but while using Firefox they would. And I found a solution such that PiHole would would be allowed to block on Chromium as well - Chromium bypasses Pi-Hole by tunneling via DoH - solution is to block google.dnsChromium bypasses Pi-Hole by tunneling via DoH - solution is to block google.dns.
That may not be a solution to your problem, but even then it wouldn't be surprising if D0H was how your system was avoiding PiHole, and there might be a similar solution.