Is there a non jailbreak firewall for the iPhone or is there some way to set one up, somehow?
As of now, and for the foreseeable future, it is not possible for 3rd party developers to create a firewall app.
Apple need to do it, and my personal guess is they will not, since even for the mac os x the firewall "configuration" the os itself provides, is minimal.
I think Apple is still in the mindset that you can build a bulletproof ecosystem of OS and apps (which IMHO very very very naive).
I wish there was a version of little snitch that you could run on iphone. I would jailbreak my devices in an instant if there was one.
In essential, it could be possible, with a jailbroken device.
One would need clang or gcc (compilers) that actually work.
Then, at that point, since iOS basically runs the same UNIX shell as a Mac, they could compile a firewall, and it could work.
I can't try this, my compiler doesn't work for big scripts.