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For any filtering of URL, the only option is Firewall.
There is a cost-effective Firewall (Azure Firewall Basic) that is currently in preview. Please check this document Azure Firewall Basic.
If Firewall is the only option, could be configured serving 1 Firewall to multiples Resource Groups/VNet/Subnet or should be one per RG.
-It's one per VNet
-It can serve multiple VNets, as long as these VNets are peered to the VNet where the Firewall is deployed
Hope this helps.
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