Do you have to download the chosen ad or is it already on your system? If you selectively downloaded ads, your ip address could give you away and you get a floc like situation
The ad catalog for your region is downloaded; it comes with click-through URLs, titles, body text, and some other information. There is no connection made beyond this to retrieve any other ad-related data. You can see what your own regional catalog contains by visiting https://sampson.codes/brave/ads/my_region/.