I've been served ads on US outlets for products which clearly target my home market (Germany). This will make a hard time arguing that you are not targeting that audience. In my opinion, if you serve ads on your site which target EU consumers, you're doing business here. I don't think it matters whether you do that through a third party.

By blocking EU ip-ranges, that may change, I admit that. However, if by other measures like finger-printing the browser you serve EU-specific ads to vpn'd users you may be up to problems.