Theoretically. But I've found out that it doesn't work on small Linuxes like OpenWRT -- the guy who took over maintenance obviously only works with big desktops and servers, he even removed the mechanisms for proper cross-compiling, at least the last time I looked, a couple of years ago. It looks like the people who use such distros aren't particularly interested in URL-based blocking?
We are really making it easy for all the companies that do the same that LG does.
tinyproxy does what you want.
http://wiki.openwrt.org/doku.php?id=oldwiki:proxy.tinyproxy