School doesn't allow vpns

So I value privacy. I don't look at porn, I have nothing to hide, but I like my internet private. My university does not allow proxies, and their firewall blocks the pia website. If I download it on my phone and then transfer it to my computer through a micro USB (or Dropbox) I can use it. But will they tell who uses them? If I can use it without being identified, that would be great, but Idk if they can identify me or not. Is it possible to use it without being found out?

update

tried to connect anyway, and proxies are blocked. I cannot connect. :-(