As far as I know, brave already stops it via Google safe browsing (proxy requests)
Again, as far as I know, there is already a sandbox environment called ‘Ephemeral Storage’ https://github.com/brave/brave-browser/wiki/Ephemeral-Storage-Design. But, it is slightly different from what you are talking about.
Cookie security
They can already be blocked from site settings menu. Automatic download off for all sites, pop-ups and redirects off for all sites, cookies from shields and site settings etc.