What about questioning the purpose of the taxes you pay?
At least in the US, we are not a direct democracy so it's not important or even an desirable to have everyone decide where their money goes based on their own individual morals or ideology. We elect leaders and in a perfect world they're smart enough (lol) to see that taxpayer funds are allocated in a manner that best helps Americans (lol).
Less snarkily: even if we agreed that paying taxes makes one complicit on evil acts done with that money, it doesn't mean that person should not avoid being complicit in other evil actions where they can.