Here is an example (the domains are fake, it's for demonstration purpose only):
The domain adcompany.com is in my blacklist, so it returns the IP of my Pi-Hole if I do a DNS query:
$ host adcompany.com
adcompany.com has address 192.168.1.10
But if I do a DNS query of ad.newspaper.com it doesn't get blocked by Pi-Hole even though it's simply an alias (CNAME) for adcompany.com:
$ host ad.newspaper.com
ad.newspaper.com is an alias for adcompany.com.
adcompany.com has address 6.6.6.6
What I would like that Pi-hole do is to check if the domain is a CNAME (in the example ad.newspaper.com) then comparing the domain that is aliased to (in the example adcompany.com) with my blacklist. If it is in my blacklist block the domain (by returning the IP of my Pi-hole).