EDIT: my apologies, I misread your comment and assumed you meant host-based blocking. You seem to be advocating for the proxy to parse the page contents and do the ad-blocking there, before serving it on to you. It's an interesting idea. At scale it would have some significant hurdles to overcome WRT TLS, but I am nonetheless intrigued.
Proxomitron and other MITM proxies have been doing this for years --- you do need to generate your own root CA and change the TLS config of whatever clients will go through it so that it trusts your root, but after that it works perfectly. As a bonus, you can do "HTTPS upgrade" with applications that don't even support HTTPS or only old TLS versions.
If you want to do it locally, then you're paying the CPU / RAM cost yourself, not to mention doubling a lot of the work (the page needs to be parsed / interpreted / JS executed by the proxy, and then again by your browser) -- so why not just do it in the browser?
If you want to do it third-party, you need to trust this third-party because they're terminating the TLS connection for you (not to mention being fundamentally incompatible with TLS 1.3)