Add an entry like the following to your Unbound configuration:
local-zone: "example.org" always_nxdomain
NOTE: When a client asks the Unbound server where example.org is, it will get an NXDOMAIN response.
The following instructions will download an example list and convert it to Unbound format:
NOTE: Run this using sudo access:
curl -o hosts https://raw.githubusercontent.com/StevenBlack/hosts/master/hosts grep '^0\.0\.0\.0' hosts | awk '{print "local-zone: \""$2"\"always_nxdomain"}' > /etc/unbound/unbound.conf.d/blacklist.conf