If you’re running an Android phone, there’s RethinkDNS which can block every requests except those explicitly allowed by yourself on the DNS level and firewall your traffic based on your rules.

It’s very customizable but It’s not that easy to get it right. You can even hook up your own wireguard tunnel and add block lists similar to uBlock.

If you want to dig deeper into the DNS blocking you can have a look at PCAPdroid which allows you to peek into wich app does what on the DNS level. While it works without rooting your phone, if you want to use it in combination with your VPN, you need root access.