After downloading Blokada and starting it for the first time you are asked to grant the permission to set up a VPN by your system.
If you try to click this dialogue and it doesn’t work, disable all screen dimmers and apps that use screen overlays. Try to tap the dialogue again. If the dialogue disappeared reboot your phone and open Blokada again.
If you are unsure why you have to grant VPN permission at all please read this article: Why do I need to grant VPN profile permissions?.