Certain browsers and browser configurations may accidentally leak your real ip address bypassing the proxy or VPN software. That behavior is usually defined as an ip leak.
Each browser has a unique fingerprint that is calculated using various techniques. In most cases, using a VPN or a proxy is not enough as you can still be identified by this fingerprint. Fingeprinting is done by checking the enabled modules, browser info, cpu info and other things. In most cases, running in incognito wil not change your fingeprint.
WebRTC is a implementation that provides Real-Time Communications (RTC). When this feature is enabled in your browser (it usually is), it can leak your real ip address and other information.
This is a real challenge but we can try: disable Java, disable WebRTC, disable Flash/ActiveX and make sure your browser has different fingeprints (hardest part).