Open proxy on my phone without me knowing

I think my phone is being used as an open proxy when not using vpn (got information from website). I haven’t downloaded any type of proxy for my phone. Is it possible that someone is using my phone as an open proxy without me knowing and spying on me? How do I delete it from my phone?

In addition, the website notified me that my internet connection is banned from there because of open proxy.

When I check my phone settings, it says “proxy not set”