The TPS isn't the blanket coverage that most people believe it is. For starters it is number specific so unless you have registered all of your numbers you can still be contacted. Also if a company has a prior relationship with you then they can contact you regardless. There is also a sneaky trick that some data supply companies have used for a while now where they change the wording on the tick if you don't wish to receive section to tick if you do.
Your best bet is going to be to demand the data supplier's details when they next try ringing you and then take it up with them.