Why the built-in firewall doesn't help
System Settings › Network › Firewall decides whether other computers can connect to apps on your Mac. It doesn't stop an app on your Mac from connecting out, which is what you want when an app phones home or burns through hotspot data.
Option 1: change the app's own settings
Many apps can turn off automatic updates, sync, crash reports and analytics in their settings. It's the safest first step, because the app knows it's offline and won't keep retrying.
Option 2: pf in Terminal
macOS includes pf, the packet filter. It blocks by address and port, not by app, so it suits a known server rather than a whole app. Rules are lost at restart unless you add them to /etc/pf.conf.
echo 'block drop out quick to 203.0.113.10' | sudo pfctl -ef -sudo pfctl -dReplace 203.0.113.10 with the server's address. This replaces the running pf rules until you restart. The second command turns pf off again.
Option 3: a firewall app
An outgoing firewall sees which app opens each connection and can block it. In Drippy, open Apps and turn off the app's switch. You can also block it only on your hotspot, only after it has used a set amount today, or for an hour. See Drippy's firewall.
Other options are Little Snitch, LuLu and Radio Silence. See the best firewall apps for Mac.
Questions
Can Screen Time block an app's internet access?
No. Screen Time can limit or block apps and websites, but it can't let an app run while keeping it offline.
Does blocking an app stop its updates?
Yes, if the updater runs as part of the app. Some apps use a separate updater process, which needs its own block.
Can I block an app only on Wi-Fi or only on a hotspot?
Not with built-in tools. Drippy and TripMode can block apps on chosen networks.