A VPN isn’t rawdogging the Internet. For that you should use stuff like ad blockers. A VPN only protects traffic inspection by on-path attackers like ISPs, though HTTPS mitigates most of that, leaving only metadata. It also changes the apparent origin of your connection.
If possible, I’d change providers.
Is that something you control? Because pi.hole is not a registered domain name. (And I wouldn’t trust a random person’s pihole anyway.)
Assuming it’s your local pihole and you have DNS set up, I would check that configuration start to finish.