First off, if this is a business, you should have an internet usage policy forbidding usage of tools to circumvent filtering. This allows you to do some firing of offenders.
Secondly, you need to review your logs to determine what ports/protocols this software uses, then you can use this information to block it.
Company X has a rule "Don't watch **** at work" Company X has a tool UTM which prevents watching **** at work
User A uses Psiphon to bypass the UTM and watches **** at work Company X warns and then fires User A
User B uses their own phone and internet connection to watch **** at work Company X warns and then fires User B
User C purchases a VPN connection that encrypts all traffic and uses it to watch **** at work. Company X warns and then fires User C.
There are dozens of ways of bypassing protection - many have been created to allow dissidents from countries that have oppressive governments.
The fact is that users are ignoring your company rules. If you block this method they will use another. Stop the problem at the source - the user, not the method.