Use some kind of firewall for outgoing traffic

It wasn't so easy to make a topic on this subject.
I'm pretty new at this, so please bare with me.

I'm running LuCI 21.02 on a vilfo router.
I'm running a VPN server (where I can connect to my network from anywhere.. ex. my phone)

.. please, be patient...

I'm wondering if it's possible to instruct the VPN server so all traffic that comes in to my openvpn server (from ex. my phone) is run via a firewall, so I can block certain ip addresses/ranges.
Basically I want to block all advertisment and trackers via ip.

is this even possible?

or maybe route everything via an proxy?

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This is standard solution for me. Just install Adblock and banip and you have the router full safety when surfing through the VPN tunnel when you are on the go.

No need for any special settings as long as you are connected to the router in the first place. As long as you have config the VPN tunnel to tunneling ALL traffic!

I think you mean the other way around since you phone will not send out any real traffic. The data traffic will go from the internet to the router and be filtered through the firewall and go to the VPN server and directly to your phone without any filtering again in the firewall.
The phone already has a full bidirectional connection to the internal side of the firewall (most often called LAN side) with the VPN tunnel.

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