@Khushboo Kumari, Thanks for posting in Q&A. From your description, I know you are looking for a way to block all websites and only allow a few URLs via Intune.
Based on my research, I find in Settings Catalog policy, there's policy settings we can set in Microsoft Edge and Google Chrome to set allow and block URLs. You can include '*' in the block list to block all requests and then set URLs you want allow in Allow list to allow access to a limited list of URLs.
https://learn.microsoft.com/en-us/deployedge/microsoft-edge-policies#define-a-list-of-allowed-urls
https://learn.microsoft.com/en-us/deployedge/microsoft-edge-policies#block-access-to-a-list-of-urls
Hope the above information can help.
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