I have a Pi-hole and use uBlock; when I turn off uBlock and use the Pi-hole alone, a ton of ads still seem to come through. This is with the default blocklists (StevenBlack, MalwareDomains, sysctl.org, zeustracker.abuse.ch; about 8 total). Maybe I'm not adding enough lists, but "out of the box" it doesn't seem to cut it.
You may have a secondary DNS. Sometimes that isn't even intentional as ISP modems automatically upstream failed DNS regardless of the local DHCP settings (I'm looking at you AT&T Fiber)