GNOME Web includes this block list by default:
https://easylist-downloads.adblockplus.org/easylist_min_content_blocker.json
Note the “min” (minimum) descriptor.
For my purposes, minimal blocking is never going to be enough, especially if it’s mainly focused on blocking ads, with little attention to blocking tracking scripts. I prefer a more expansive, privacy-and-security-enhancing solution like Steven Black’s well-known public blocking lists.
Adblock Plus, which GNOME Web is using, requires (I think) lists in .json format, so I located this comprehensive meta-list from Steven Black:
https://raw.githubusercontent.com/StevenBlack/hosts/master/package.json
In the terminal, this command shows which list is currently in use in GNOME Web/Epiphany:
gsettings get org.gnome.Epiphany content-filters
which returns:
[‘https://easylist-downloads.adblockplus.org/easylist_min_content_blocker.json’]
Then this command is used to set a new list (Steven Black’s master meta-list, in my case):
gsettings set org.gnome.Epiphany content-filters ['https://raw.githubusercontent.com/StevenBlack/hosts/master/package.json']
You can see the results in dconf-editor, if you have the application installed:
You can also just add the new list directly in dconf-editor without using the terminal.
I very rarely use GNOME Web for anything, mainly because extensions I consider indispensable, like NoScript, uBlockOrigin, Privacy Badger, Privacy Redirect, Font Contrast, ViolentMonkey w/ Hit Hider by Domain script, etc., aren’t possible. But if I do need to use Web, I want to be more protected than the default provides.
I’ve configured this on all my devices, including the Librem 5… on which dconf-editor also works quite nicely. 
EDIT: Master uBlock json can be found here. You should be able to just copy and paste the parts you want into a custom file.
Also, I read a couple of comments (I think on Reddit and elsewhere) about there being a limit to the number of blocklist entries that Epiphany can handle, including a comment from a former GNOME developer, who said that the limit is what caused them to go with the “minimal” list. The comments are from a couple of years ago, so I don’t know if that’s still the case.
So, best to test any list you use to make sure it’s working.