GNOME Web (née Epiphany) now supports WebKit Content Blocker rules but sadly still comes configured with AdBlock rules that do not protect your privacy (they block some ads).
I’ve updated the instructions for replacing them with Better Blocker’s rules instead if you care about protecting your privacy.
https://ar.al/2018/07/17/enabling-better-blocker-in-gnome-web/
TL; DR: Enter this a terminal window:
gsettings set org.gnome.Epiphany content-filters "['https://better.fyi/blockerList.json']"