On Android there is NetGuard [1] which is awesome (not affiliated, just a happy customer).
Under Settings > Defaults, make sure you don't have "block roaming" turned on.
Expand the rules for the apps giving you issues, and check "Block roaming" isn't ticked for them.
E.g. historically you could figure out IP <-> domain name pretty easily by simply watching DNS: cache the IP addresses for each domain as it's looked up, and do a reverse lookup when a request for that IP occurs. DNSSEC / DNS over HTTPS / etc hide that data, so it has to come from other sources (e.g. a remote lookup, bulk cached data, etc) or simply not be known at all.
You could also pull the data from the HTTPS handshake, which has Server Name Indication to support multiple domains behind a single IP address (e.g. hosted in a cloud), if that data exists (single-site static IPs may not have this). But Encrypted Client Hello hides this, so you're back to just IP addresses. (ECH is not very widespread yet AFAIK, but it's growing)
---
You can work around much of this if you have your router MITM your traffic, but that's kinda a pain to set up (as it should, it'd be very bad if someone else did it and you didn't notice), and essentially only works with "common" requests (e.g. https) which aren't using certificate pinning (a small number of mobile apps do this, outside that it's more rare AFAICT). You can just block all those of course, but it'll break some things.
... and even if it wasn't, ECH works by reading public keys from DNS, so the domain owner has claimed "you can send ECH" and it's pretty easy to know "therefore you shouldn't downgrade if you are capable, it's probably an attacker". Though unencrypted DNS renders this all a bit moot of course.
---
tl;dr, with the caveat that IANAWebSecuritySpecialist and I haven't found anything I'd call actually conclusive yet:
I believe "no". Unless you are setting up client-side CAs, at which point you can MITM everything so it hardly matters.
https://datatracker.ietf.org/doc/html/draft-ietf-tls-esni-22...
The old Microsoft Proxy (and later their ISA Server product) used a proprietary encapsulation between the client and the proxy server that exposed client-local state to the proxy server to let you do "magical" stuff like filtering by process name or username at a gateway level. I wish there was a free software solution that did that.
It melds Firewall and DNS to block.
https://i.imgur.com/Ae4npRh.png
Obviously you can block hostnames quite easily via a hosts file, but it would be great if there was an easy-to-use GUI which could block stuff at the router level. If possible it could even inspect URIs to selectively block requests for certain file extensions etc.