That's not really possible, or ideal. Firewalls are designed to drop connections at low level (usually within the kernel), and save the overhead of passing the data on to the higher levels for further processing. Usually they don't even know what sort of data is in the traffic.
Cloudflare and some gateway appliances will sometimes process the whole connection and do as you want, but they're operating from different concerns and don't really care about processing the incoming data. There have been some experimental linux kernel modules to do this sort of stuff too.
When it comes to security concerns or abuse (which is how you'll be tossed on a blocked ip list), you really need to drop that connection immediately and not process any data from it - otherwise you'd wasting bandwidth or computational resources.
Essentially, yes. Serving a HTTP file is a low-cost way (IMHO) for people to debug their connection into the network. I do think it's a bit better than offering an ip-block lookup though, because it can potentially surface other issues in the network hops and is better suited to troubleshoot users who are less technically inclined. Assuming the network blocks exist for all traffic on an IP, being able to access a document via HTTP but not HTTPS strongly suggests an issue with the Client's software or network, while not being able to connect to either suggests a block or network issue.