Hi,
Sorry for the inconvenience caused.
Due to the feature limitation, Excel Online cannot direct users to the local path file with the hyperlink currently. As a workaround, click Open in Excel button on Excel Online to open the file from local Excel client.
If your concern persists, may I have some more details about the External Hyperlinks like if it directs to a local Excel file/data range, or a file URL like OneDrive location? Also, if there will show any error/warning message or just simply no response when clicking the link? We'd like to test for you based on the scenario you meet.
Best Regards,
Mia