Tough one. There’s a few ways of denying access totally but the exception is the problem.
Could try enforcing a proxy server that doesnt exist, and then specifying the website where the link is as an exception.
User Configuration > internet Explorer Maintenance > Connection > Proxy Settings
Check “enable proxy settings”, put in fake IP address, then uncheck ‘Do not use proxy server for Local (intranet) addresses.
You could then add the server address where the secure link is to the exceptions list. Problem is they could probably browse to other pages on the excepted server.
If you got really clever you could set up the fake proxy server address to point to a real page which says ‘Fook off – no internet for you mate!’
Let me know if you crack this one….