1. The data is your competitive advantage, and costs billions of dollars to gather. You would be insane to sell it to someone else.
2. Regulatory. GDPR will absolutely destroy you for doing this.
3. Technical. Most targeted advertising relies on low-latency pipelines, with a lag time from minutes, to, at most, days between events being recorded, and ad targeting engines reacting to the event. You aren't going to sit around waiting for some third-party integration to 'launder' the data for you (Because it won't actually help you against regulatory scrutiny).
4. Practical. Ask people who have actually worked on these systems. Building it that way would be a fucking nightmare, both technically, and for the compliance pain.
Or, if you don't believe anyone, get a job at a large ad firm, and see for yourself... That there isn't any such Rube Goldberg contraption.
5. Even if, against all judgement, all of this happened, a large firm can't keep this a secret for very long, there's way too many moving parts, way too many people involved, and someone on the periphery will whistleblow, and the firm will be in a mountain of legal shit.
And yes, I worked in AdTech. People really overestimate how many people need to know these things, and how likely people are to whistleblow when the "crimes" are morally grey.
If there's a giant friggin' third-party endpoint feeding your engine a firehose of data that the firm's whole business relies on, everyone will know about it.
These systems are held together with spit and bailing wire, everything breaks all the time, everything's idiosyncrasies have to be worked around all the time, and all of the component behaviors have to be well-documented for integration and testing and release and design purposes.
This might fly in a small shop, not so much in one with thousands and tens of thousands of eyes involved. The bigger you get, the harder it is to keep a secret.
But they won't know where that third-party's data came from.
But there are very solid reasons that isn't what they would do (see "It's impossible to keep a secret of that scale in a 100,000 person firm").