Thats not how incognito works...
Let me touch on that for one second. All incognito mode does is prevent your browser from keeping history and temporary files (like cookies) after the browser window has closed. Keep in mind that if you're not forcing your router or device to use a DNS provider other than whatever your ISP is dishing out your ISP will have a nice detailed account of every single URL that you're hitting. If you use for instance the Google public DNS servers (8.8.8.8 and 8.8.4.4) all your ISP sees is a UDP packet going from your public IP to 8.8.8.8/8.8.4.4 on port 53, after that they will see the public IP of the URL and the ports that you're connecting to/from; This is not fool proof as a reverse lookup will give some indication of what you were looking at.
Likewise, with a proxy service all that happens is that your traffic (generally browser based) will go to another server that will make the request on your behalf. However no encryption takes place and a little bit of packet sniffing may reveal a whole lot of information. Also the proxy provider will have a stupid amount of information with regards to your browsing habits.
Now with a VPN things get interesting. What your ISP will see is a connection to a remote IP and a port. Everything will be encrypted between you and the VPN provider. You will get a private IP address on the VPN providers LAN (something like 10.0.0.41/30) and that IP will have a NAT to a public IP that the VPN provider has. So even when you do a DNS query, it will be encrypted until it leaves the VPN tunnel.
Want to see what a DNS query looks like :
0000 48 f8 b3 26 df 49 ba ba ba ba ba ba 08 00 45 00 H..&.I........E.
0010 00 38 66 bd 00 00 80 11 02 0c c0 a8 01 34 08 08 .8f..........4..
0020 08 08 d5 39 00 35 00 24 44 8f 00 03 01 00 00 01 ...9.5.$D.......
0030 00 00 00 00 00 00 06 67 6f 6f 67 6c 65 03 63 6f .......google.co
0040 6d 00 00 01 00 01 m.....
Hey, will you look at that. IP address 192.168.1.52 queried 8.8.8.8 for google.com.
c0 a8 01 34 - Translates to 192.168.1.52
08 08 08 08 - Translates to 8.8.8.8
d5 39 - Source port 5485
00 35 - Destination port 53
06 67 6f 6f 67 6c 65 03 63 6f 06 67 6f 6f 67 6c 65 03 63 6f - Translates to google.com