As you know, OneDrive is the client allowing you to sync content between your devices (Mac, Windows, Android) with SharePoint and OneDrive.
Over the past few years OneDrive client has evolved and is now providing way to exclude file types from being uploaded.
To be able to use this new capability you need to run OneDrive client version 20.201.xxx or later.
You can get which version you are currently running by accessing the Settings\About menu
Then you need to grab the ADMX files for this version; the ADMX files are located in %localappdata%\Microsoft\OneDrive\<version>\adm; you will also find localized version
Import the ADMX files into your SYSVOL\Policies\PolicyDefinitions folder for use with your GPO.
You can then configure the Exclude specific kinds of files from being uploaded
If you are using a MDM solution (like Intune) for your BYOD devices or Azure AD Joined only devices you can push the following registry
Value Name: the file type you want to exclude
Value: the file type you want to exclude
If you want to block different file type, just create additional values as shown below; you can use wildcard, part of filename (like *sales* to block any file with the name contains sales)
NOTE this will block defined file types from being uploaded using the OneDrive client; user can still upload these file types using the web browser
When applied and a file matching the restriction is pending upload, users will see a message letting them know the file(s) they are trying to upload have been blocked