In addition to the article Lucar has mentioned (https://community.sophos.com/kb/en-us/132436) please make sure that you create a block rule for all unnecessary traffic. Psiphon proxy uses random ports to get access to the Internet, also uses UDP 443 so make sure you block QUIC as well in the firewall rule.
What this means is you block IP addresses, NONE in the category, you follow the KBA exactly and it does work. I went through the same issue until I followed the KBA.
Ian
From logviewer which rule is allowing Psihon to pass?
