Does iOS support a built-in firewall like macOS does? I don't see anything about it in Settings.
Page 27 of the September 2015 iOS Security White Paper states that there is not a firewall on iOS.
On other platforms, firewall software is needed to protect open communication ports against intrusion. Because iOS achieves a reduced attack surface by limiting listening ports and removing unnecessary network utilities such as telnet, shells, or a web server, no additional firewall software is needed on iOS devices.
When you have jail broken your iPhone/iPod/iPad you can download a firewall setting in cydia
You can find an article about it here: