I thought the tax to be paid will be deducted by the gambling site or am I wrong?
Why not want to pay tax? It is better you pay your tax.
Some people are avoiding tax with decentralized exchanges and selling directly to someone.
Ta will be taken by the government of the Gambler country. So there is no way or reason to deduct taxes from the gambling site. The person wants to avoid tax as the person has to give a large number of money (taxes) to the government of his/her country.
@Op you can sell it locally in cash which may prevent you from paying taxes. I think as a citizen of the country you should provide taxes to your government.