Are these "sites" as in "websites"

Or something more akin to Netflix, endpoints accessed with an "app" on a "TV"

The parent comment's HOSTS file method will fall short, for sure

But a zone file that functions as an "allowlist", cf. "blocklist", can do the job in most cases

If the ads are in the video file then downloading makes more sense than streaming

Ads can be removed from the file, or skipped in the video player