Do you mean the block page ?
Thats generated by the 404 error handler in the lighttpd web daemon:
pi@noads:~ $ cat /etc/lighttpd/lighttpd.conf
server.document-root = "/var/www/html"
server.error-handler-404 = "pihole/index.php"
Could try configure caddy to do the same ?
Blocked domains through https wont get the block page displayed: