Hi Matty,
Thank you for posting your question in this community. From your description, it seems that you are trying to import an Excel workbook in SharePoint Library into an Excel workbook by Power Query.
I noticed that you are using Get data from Web to input the Excel file link into Excel workbook. Generally, Get Data from other Sources from Web is to extra the data from a website, such as a table in web page.
If you would like to import an Excel workbook in SharePoint document library, we recommend you can use OneDrive to sync SharePoint document library to your computer. And using Get Data, From Workbook and choose the workbook from the OneDrive sync folder.
For your information:
Import data from external data sources (Power Query)
Best regards,
Dihao