Mikrotik rb951G 2hnd.
I set dns to OpenDNS family shield.

When try to go to adult website i see opendns response - that it is blocked.
How to replace this response and display that content is blocked but with custom html, maybe from hotspot directory....dont know..
but not made by OpenDNS company?

OpenDNS returns different IP addresses for blocked content. They have them documented:

https://support.opendns.com/hc/en-us/ar ... Addresses-

So you can redirect connections to these addresses to your server. It would work with external server for sure, but that might not be very practical if you don't have one. I'm not familiar with hotspot, so I can't tell if it can do it for you.