How to run a function after wp() in the wp-blog-header.php file?

The appropriate hook for handling redirects would be template_redirect:

function wpse_331804_redirects() {
    /**
     * 1. Check if the URL has a parameter [redirect]
     * 2. If NO, proceed to the next step
     * 3. If YES, then get that parameter value and look into [redirects] table
     * 4. If you found a row that has that value, then get the [redirect_to] value
     * 5. Redirect to that URL [redirect_to]
     */

    if (isset($_GET['redirect'])) {
        // Get the parameter value from the URL
        $redirect_from = $_GET['redirect'];
        // Add the table prefix to the table name
        $table_name = $wpdb->prefix . 'redirects';
        // The SQL query
        $query = "
            SELECT redirect_to
            FROM $table_name
            WHERE redirect_from = '$redirect_from';
        ";
        // Run the SQL query and get the results
        $result = $wpdb->get_results($query, OBJECT);

        // If there was a result then do the redirection and exit
        if (wp_redirect($result[0]->redirect_to)) {exit;}
    }
}
add_action( 'template_redirect', 'wpse_331804_redirects' );