Spotify whitelist, Pi-hole compatible. Original source: https://github.com/x0uid/SpotifyAdBlock

SpotifyWhitelist

# Spotify's Anti-Adveritsing blocking servers, tricking services to stop music services (DONT BLOCK THESE!):
gcdn.2mdn.net
r9---sn-n4v7kn76.c.2mdn.net
gew1-accesspoint-b-zzfg.ap.spotify.com
ns1.p23.dynect.net
ns3.p23.dynect.net
ns4.p23.dynect.net
dns1.p07.nsone.net
dns2.p07.nsone.net
dns3.p07.nsone.net
dns4.p07.nsone.net
audio-sp-fra2.pscdn.co
104.199.65.11

# Don't block entries below, they are needed for Spotify to be fully functional.
apresolve.spotify.com #access point list also used for chromecast
api-spotify.com
api-partner.spotify.com
api-tv.spotify.com
ash-dealer.spotify.com #Load balancer
ash.weblb-wg.dual-gslb.spotify.com #Load balancer
audio-sp.spotify.com #Audio server!
audio-fa.spotify.com #Audio server!
dealer.spotify.com
dealer-ssl.spotify.com
gslb.spotify.com
open.scdn.co
open.spotify.com #web player, you can block this for app only
play.spotify.com #web player, you can block this for app only
spclient.spotify.com
sto3.spotify.com
wg.spotify.com #(*) Breaks entire app
geo3.ggpht.com #Just dont block!
googlehosted.l.googleusercontent.com #Just dont block!
redirector.gvt1.com

# Optional: If you want to listen to music on your TV, or for cover art example.
tv.scdn.co
i.scdn.co #album covers
o.scdn.co #more images
p.scdn.co #maybe profile images
t.scdn.co #maybe images for charts

Do I need to install the blacklist first? Or it's blacklisted automatically by PiHole?

To block them, you have to put them on a Blacklist. Whether you install a Blacklist that includes them or add them manualy doesnt matter