Try opening links externally to see if the issue persists.
Go to Telegram > Settings > Data and Storage> Others (Open Links in) - Change from Telegram to any other Safari/Chrome (Apple)
Go to Telegram > Settings > Chat Settings > In-App Browser - turn it off. (Android )
Thank you very much and sorry for the delay in feedback
Was still observing before making a conclusion.
It hasn't shown any ads ever since
Seems it had to do with the browser I took as default.
Realised that after turning in app browser off. After checking that my proxy was already disabled.