This looks interesting conceptually. TIL about NFQUEUE in iptables. I've only run such tools on Mac/Windows and haven't really searched for something like this on Linux.
I know trying to do this on Windows isn't trivial. I currently use Windows 10 Firewall Control, but I don't really like how it fails the first connection attempt from an application instead of holding it until you select an option.
On windows, have you tried glasswire? It takes a similar idea/approach to little snitch in terms of notifying the user of new outbound connections and allowing for monitoring/blocking.
If you don't need fancy features, I would ditch GlassWire for something like https://github.com/henrypp/simplewall