Browse to the website that you want to verify is being SSL intercepted. Then, click on the padlock icon in the address bar. Click on Certificate.
In the Certification Path tab, you will see the Cloud Services Root CA. If you see this certificate being used, then the traffic to this website is being SSL Intercepted.
Additional Information
Admin can also check proxy log in Cloud SWG Portal > Reports > Proxy Log. SSL/TLS intercepted websites usually show full path of the URL with https protocol(below screenshot). While it only shows "ssl://" or "tcp://" as protocols (no "https://") and does not show full path of the URL in case SSL interception is disabled.