You cannot block the proxy sites in squid since your users are sending their traffic to a remote IP and port.
You could do this with iptables, but you'll need to know the IP and port for every proxy in use. If you have a clue who is doing this, you can add an iptables logging rule to track his traffic, then write an iptables rule to deny access to the IP/port being used. I'd put the logging rules at the bottom of the ruleset so they pick up only those requests that don't already match some other rule. If the proxy user is on 192.168.1.1, you can add this to the bottom of the ruleset (but above any sort of default deny rule):
The results will appear in /var/log/syslog. If you log other activity in iptables, you can use the "--log-prefix" option to assign a label just to packets matching this rule.
/sbin/iptables -A INPUT -p tcp -s 192.168.1.1 -j LOG