If I understand correctly you have Android clients bypassing security controls by using an anonymizing VPN? Have I understood correctly?
Some of these VPNs can be really hard to block.
Start by trying to block the content category "Filter Avoidance".
If that is not enough, you'll need to Google for measures others have used to specifically block whatever VPN you are targetting. Often there will be a DNS name (such as the system used to log into the VPN) that can be targetted.
I think Psiphon often uses DNS ports, so you might need to block all access to port 53 except for the specific configured name servers that the users are allowed to use.