This document explains how to configure a firewall rule by domain name.
Create a new firewall rule at Network > Firewall > Access Rules. Select Domain Name in the Destination field:
Example:
After a firewall rule by domain name is created, all traffic from that domain will be allowed or denied according to your settings.
TIP: If you are trying to block outgoing HTTP access to a website using a domain name, consider using the Web Blocking feature.