Featured image – link to external page

Hi

It depends of your theme, featured images don’t link any page, internal or external.

You should add a extra field, if you don’t know how to code you can use this plugin
https://wordpress.org/plugins/meta-box/
It has a builder if you need
https://metabox.io/plugins/meta-box-builder/

I prefer to code rather than using plugins, but sometimes it’s easier

Hope it helps you