Is it possible to know if an IP address is a proxy or are they just picking up that I am using a proxy because they identify my ip address as a know proxy IP (ProtonVPN) ?
It's usually detected by the use of an HTTP header inserted into the request by the web server software using a web server tool like mod_maxminddb. It does ip address lookups from maxmind's IP database, and puts a country code in the headers, with A1 and A2 representing proxies.
Cloudflare also injects country code headers, but I'm not sure if it uses A1/A2 header values. I do know it will ID Tor exits.