My apologies. After reading the question I wrote, I think I could have been clearer.
We’re blocking all traffic from a country, however, we have an employee in that country that we need to allow to access our site.
I’ve created firewall rules for him. Those rules allow him to access the site, however, third party scripts seem to be blocked. If we turn off the firewall rules on CloudFlare and have him use a VPN, the scripts load fine.