As far as I know there is no fireall app which can serve this purpose, for the general purpose firewall you can look into the following apps -
NoRoot Firewall
NetGuard
DroidWall
AFWall+
Mobiwol
Also if you are looking for the free vpn apps (which are very few atleast in free space most are freemium) then you can check the following -
OpenVPN Connect
OpenVPN for Android
SpeedVPN