Tell Apple, not me. I’d have written it myself already if such a thing were possible. Special VPNs can do this, or you can just carry a travel router, 4g modem, and usb battery pack velcroed to your ankle, and connect to it via WiFi, so that you can blackhole things via DNS or iptables.
I almost never use Spotify on my phone. The one exception is when I needed to handle the music for my wedding (piped it through some massive bluetooth speakers).