If you are using Blokada without Blokada Plus enabled Blokada is only routing DNS traffic through a local VPN tunnel. So if you enable the setting ‘block connections without VPN’ you more or less block all traffic except the DNS traffic. This is why you won’t be able to load any pages when this setting is enabled.
You can change this by subscribing to Blokada Plus. Then all traffic will be routed through a (no longer local) VPN tunnel.
But remember: all bypassed Apps communicate outside of the VPN tunnel, so their traffic will still be blocked.
Check this (short) or this (long) link to understand how Blokada works and what a local VPN tunnel is.