I originally made my own app: compiled an OSS SOCKS proxy with a simple iOS wrapper, deployed with a free developer account. Later, I switched to using Pythonista (paid app available on the App Store) to run a SOCKS proxy written in Python. I should add - Pythonista is a pretty amazing app, given that it’s a proper App Store app that lets you write your own Python programs with full access to iOS APIs (including the ability to dlopen private frameworks via ctypes...).
The iOS app I “wrote” is up on GitHub: https://github.com/nneonneo/socks5-ios. It’s really barebones; I knocked it together in less than an hour since I rather desperately wanted a good internet connection at the time :)
I didn't upload it anywhere because it's _shamefully_ hacked up - it's a quick bodge-job on top of some existing Python SOCKS proxy, where I added PAC support so my iPad can also use the hotspot (since you need PAC to convince iOS to use a SOCKS proxy).
If you want to use PAC, set the "automatic proxy URL" to http://172.20.10.1/wpad.dat when using this as a tethering proxy (yes, iOS lets you bind port 80 without root - your app just needs to be running).