I've always just done it manually by viewing the Pi-Hole logs for the device I am on while the ad is loading. It takes getting into the weeds a bit.
Further, I don't have a Roku so I've never looked into it myself.
That being said, a quick search brought up this hosts file:
https://gist.github.com/sidward35/cea28bedd0ec0b1bceec8c2b22c163c4
Adlist for Pi-hole with domains for Roku, LG, and Samsung
Not sure if it's current or not. Lots of threads about Roku ads making it through after being previously blocked.

True, but most people are buying off-the-shelf stuff and they don't have their own localized piracy-enabled libraries with a Jellyfin server.
Further, I'm pretty sure you've got to connect your Roku at least once to install player apps like Jellyfin. But maybe you don't, I'm not at all familiar with if you can sideload on a Roku.