That could still happen if the ads are proxied through a local ad server, so that it appears to be coming from the same domain as the content. Only difference

That could still happen if the ads are proxied through a local ad server, so that it appears to be coming from the same domain as the content. Only difference is that they wouldn't be able to track you between sites with cookies, though they could use device fingerprinting and it would be harder for you to block.