There are online IP blacklist checkers which may help you, such as https://www.whatismyip.com/blacklist-check/ or many others available with a search.
Blocklists are not static, an IP range may only be on a blocklist for a very short period, and then off it again. Something like Dshield may have the entire set of ranges change in an hour. Determining the optimal set of blocklists is best done by taking into account what the list aims to achieve.
Downloading a large number of lists to check for the presence of an IP will in itself use a lot of memory on a memory constrained device. I don't think the increase in the size of the package would be worth the functionality either. Automating such a check would defeat the point of using blocklists from the point of being a low overhead solution.
In short, I too would have thought such a feature to be very useful at one point, until I researched the topic further.
The vast majority of scans are automated, and if any attack is launched, it's very likely to be automated too. If you have something important to protect, or feel you are being heavily targeted, I highly recommend researching the topic of internet security.