There is no specific option in Edge to do that.
You can use 3rd party browser extension or you can edit c:\WINDOWS\system32\drivers\etc\hosts file and block specific website for every app on your Windows.
Open command prompt AS Administrator!
type
notepad c:\WINDOWS\system32\drivers\etc\hosts
add something like
127.0.0.1 www.websiteyouwanttoblock.com