Hi James Griffiths,
Thanks for your updates. The link copied in modern site library is share link of the file. Therefore, it doesn’t work for power query. I would suggest you copy file path in Excel File>Open and you will get the URL of the file here by right click the file in SharePoint and choose copy file path to clipboard. Just like what post in my previous reply.
Besides, we can open the excel file by click Data>Get Data>From file>From workbook, type/copy URL of the SharePoint site **** in the address bar of File Explorer dialog box. You will get a list of document library in the site here. As you can see in screenshot below, you can choose your excel file here and open them in power query.
Hope these can help.
Regards,
Clark