iPad itself is fairly locked down. The positive side is not much can get on iPad and iOS. But also because of that, you are stuck at what Apple provides in terms of security and patches until your device runs out of support.
If you want to add firewall to protect your iPad, you would need to invest into devices such as raspberry pi 4 or other similar devices and run firewall on top. Unfortunately these devices usually don’t have cellular module to provide their own connection. What would be ideal is a device that can connect to the internet and run a firewall OS on top. You may need to build one yourself.
You can try apps that provide DNS firewall like AdGuard Pro/Premium, Lockdown, Disconnect, Blokada etc. They allow you to filter network connection based on popular DNS, blocklists or hostile and also add your own rules (allow/block).