Just looked into how it works without root access. It apparently creates a local VPN interface and routes traffic through it. Which is a fine way of doing it, except it prevents you from using other VPNs on the same device at the same time - https://blokada.org/api/v3/content/en/help.html#howitworks - FWIW, this is also how Tor on Android (using Orbot) works for non-rooted devices (if you want to routes apps that don't have socks proxy support).

Just to clarify re "VPN", it's not actually a VPN to any third party service, it's just a local "fake" VPN interface to intercept traffic.