The Lockdown Privacy: VPN & Proxy does all its blocking locally, on your device, and not through centralised servers. The app comes with several rules already in place, and it’s easy to add more.
It does use the iOS VPN framework, but the VPN server runs on your device. You have to add your own addresses to the block list. Apart from the built-in list, there is no way to detect what’s being shared by other apps on your devices.