I believe someone had asked for it and they said it was nearly impossible. You’d be able to do it in a single given app maybe, but the « download an episode by default » system, the (wonderful) variety of podcasting apps, and the variety of podcast ad services all make it nearly impossible. It’s somewhere in the issues!
I prefer to support smaller instances, but don’t have a problem with lemmy.ml specifically (whereas I do sometimes go out of my way to avoid lemmy.world)