I am running Google XML Sitemaps (3.2.6) along side plug-in Quick Page/Post Redirect (4.2.2)
My sitemap contains external links that are generated (properly and intentionally) by the "Quick Page/Post Redirect" plug-in.
In Google Webmaster Tools, I get "URL not allowed -- This url is not allowed for a Sitemap at this location." errors.
I would like to suggest that the "Google XML Sitemaps" plug-in consider this as a bug to be fixed.
Thanks.
http://wordpress.org/extend/plugins/google-sitemap-generator/