So without having looked into it really, my assumption is that these podcast hosts will serve a specific file based on the response to an API call. If my Pihole blocks that call, they don't want to serve nothing, so they fallback to a file that sometimes has "generic" ads (often for US-based companies) or other times no ads at all. Of course this doesn't work for all podcasts, and as mentioned sometimes still has ads anyway. One day I might look more closely into it.
Because a lot of podcast networks have dynamically inserted ads that change based on your geolocation, I've found that my Pihole can often provide a feed without any ads. I assume it's like a fallback in case the geolocating fails. So I set Pocketcasts to only download episodes on my home network.