The best android open source Firewall (+ adblocker / vpn ) I found so far is Rethink. It can have some problems (i.g., recently, with Whatsapp or Fastnews, blocking them from the Net), but you can solve them quite easily.
Not so good I tried apps such as Athena, or De1984, or InviZible Pro: all very difficult to set properly. Indeed they block either too much or to little (your apps from the Net).
Rethink, on the contrary, can let you set exactly what should be blocked and what allowed.