@nitinkhanna You can use Pocketcasts or Castamatic to do that by adding an episode you want to keep as a Favorite. There are setting in both to keep Favorited episodes as Downloaded so they’re not deleted if that is what you’re looking for.
@nitinkhanna you should be able to subscribe to the RSS feed of the Anchor Podcast. Tap on the episode so it opens to the Anchor page for the Podcast then Tap on More… under Subscribe or Follow, and copy and paste the RSS feed into Pocketcasts search box.
@nitinkhanna Not an app, but with https://huffduffer.com/ you get a personal feed that you can push whatever audio you want into, kind of achieving what you want.