There are plenty of ways to proxy the traffic. Apparently Telegram has it built in but for anything else I usually use ProtonVPN

ProtonVPN uses OpenVPN, right? That's been blocked in Egypt for some time. I had good success with Wireguard, which they didn't block (as of a year ago).

Really? Last time I was there around a year ago I was able to connect Proton.

I believe the paid plan of ProtonVPN also offers TOR connections. Not a specialist on this, though.

The traffic over your phones data connection is encrypted and routed directly through your provider in your own country. So these filters don’t affect it.

Typically the way to prevent people doing this is to make data roaming charges astronomically high.

Data roaming charges are not set by governments. It’s not even necessary because typically the economies of countries that desire this kind of control are so bad getting a subscription abroad is not affordable for common people anyway.

They’re not directly set by governments. But governments have a lot of influence over how mobile providers operate and, depending on government in question (e.g. China), if you want to keep your license you better do as you’re told.