The internet makes it seem like some VPN providers may allow you to specify your own local DNS resolution. Otherwise you might be stuck with alternative solutions. If you’re willing to run a VPS server and use it like a VPN you can do achieve similar outcomes using Tailscale and pihole together. View quoted note →

it's not easy to do or not easily supported as by default a VPN provider has you using their DNS servers for requests. some VPN providers come with these types of services built in to block trackers and ads though.

You can, but you would want to be careful. If using a VPN client on a client device (PC / Phone), this would leak DNS queries and make analysis far easier to conduct. Alternatively, you could configure your router so that all egress traffic traverses the VPN. This would mean that DNS queries to external resolvers would also go out over the VPN link!