Yes it can. Read the NXDOMAIN part of the information.
Unbound can’t return an IP for these cases, it has to reject at the domain level, so you turn this on by setting the return to be something other than an IP address. Valid returns are listed on the page, but something like -r always_nxdomain will do what you want.
Word of caution, I found this to be too restrictive. Many of the blocklists that are maintained by individuals or small teams are not the most accurate, and once a domain added, usually it’s their for ever. So when you start blocking blindly at the next level higher you tend to block valid stuff. So be careful with the blocklists you pick.
But on the positive side, it will reduce the size of the blocklist it passes to unbound, so less overhead their.