FortiGate Next Generation Firewall utilizes purpose-built security processors and threat intelligence security services from FortiGuard labs to deliver top-rated protection and high performance, including encrypted traffic.
Article Id 192265
This article explains how to create local custom override categories in FortiOS.

In FortiOS a URL or a list of URLs can be added to a custom override category in order to have a block action applied when the default category to which the URL has its action set to allow, monitor, warning or authenticate. This is also useful for when a URL has not yet been rated and the unrated web filter category has been blocked.

For example: In order to block whilst allowing, monitoring, warning or authenticating the default web filter category News and Media, one method is to add to a custom category and setting the action of block to that local custom category.

These categories exist in the default base config of FortiOS, they are titled custom1 and custom2.

Run the following commands in the CLI to create a local custom category:
config webfilter ftgd-local-cat
edit "name_of_custom_filter"