I use ublock origin for my browser and use Mullvad DNS with content blockers. I don’t know what VPN you use but as long as you can set your own DNS then Mullvad servers should work.
If your router allows you to set the DNS server you can block ads network wide.
You can create a second partition on the usb stick and use that to store data. The following link is not for your distro but it should give you an idea of how to do it.
https://www.kali.org/docs/usb/usb-persistence/
You can also encrypt your second partition to keep it more secure.
This does not enable persistence on your distro, but you could write and save scripts that make all your desired changes every boot.