On a rooted phone, you could edit your /etc/hosts file with a list of blocked domains. Outside of that, I’m not aware of any way to have a filtering app and a VPN app at the same time.
Alternatively, you could try hosting a DNS server that doesn’t resolve the domains you want blocked, like a pihole server. Some VPN apps allow you to use your own DNS and if you’re feeling up for it, there’s apparently even a way to run a local DNS server using dnsmasq on your phone mentioned in this link.
I’m actually surprised by both country’s stats.