I remember before Little Snitch there was ZoneAlarm for Windows[0] (here is a good screenshot[1]). No clue if the current version of ZoneAlarm does anything like that (have not used it in 2 decades). I always found it weird that Linux never really had anything like it.
[0]: https://en.wikipedia.org/wiki/ZoneAlarm
[1]: https://d2nwkt1g6n1fev.cloudfront.net/helpmax/wp-content/upl...