Pi-hole

AFAIK, PiZero like you said.

If your router has a USB port and can recognize USB ethernet devices, then you can get one of those USB adapter boards and connect the Zero directly to the router and configure the Pi to be an ethernet gadget (power and network both over USB). If the router has a USB port but can't handle USB ethernet devices, you could still power the Pi over that USB port and connect the two over wifi.

Once you add an ethernet port and its supporting components to just about any board, it almost immediately becomes as large as or larger than a Pi Zero.

can be powered from the same Ethernet cable that connects to the router

Ethernet doesn't carry power on its own unless you're running PoE. You can get a PoE hat for the Pi, but it adds quite a bit of bulk.

My router is an x86 box running OpenWRT, so I just run Docker on it which runs PiHole and a couple other small services.

I had two pi zeros running different instances of pihole when I started using pihole, one was my primary DNS and one was my secondary DNS. It was probably over kill to have 2 but being able to have a backup made me feel good.

As I got more into doing more with my pi I have two pi 5’s that back up to a nextcloud host I have outside of my LAN, 1 has a TB NVME drive and one has a 500 GB NVME drive but they are definitely over kill for just pihole.

If you don't care about latency, I'm pretty sure my anus can do binary...