You’d need code that checks that a call to the ad source succeeded and then, did something (a blocking pop up?) if the asset from the ad source failed to load.
I am not aware of any available theme component that does this. And no one has offered anything other than why it’s a bad idea, so I suspect that there isn’t one. (But you might make sure that you’ve searched very well.)
If you have a budget you can post in marketplace.