Some apps that use your location don’t show up in the privacy settings?

I have a game app that I know uses my location (because it shows me extremely local targeted ads - location is NOT needed for game at all), but when I went into my phone privacy settings to turn off location services for the app, it wasn’t there. My phone says the app is not using location services, but it clearly is. What should I do? It makes me wonder what other apps are tracking me without me knowing because my phone won’t show it on the list… I only noticed because of the blatantly location-specific ads. Is this a fixable issue or just a shady fine print loophole?