AFAIK, there is no direct setting to manage it, even with Group Policy.
However, we can try this workaround.
Go to Internet options by intecpl.cpl and uncheck "Automatically detect settings" and then check "Use proxy server" and put settings in for a proxy server that doesn't exist.
To prevent a user from changing their proxy settings, implement Disable changing proxy settings or Disable the Connections page in the No Internet policy.
For more information, refer this community thread: https://answers.microsoft.com/en-us/windows/forum/all/disable-internet-connection-in-one-user-account/08464996-1a57-408e-beab-66f91c78312d.