In which WP folder to store an external script ?

Hello,
(WP 5.8)

In the menu management, in the “personalized links” section
I declared in the URL, an external link because I want as soon as I click on a menu tab,
that it loads me an external file (an html script or other) that I have just declared but in which folder should I store my file?
In the WP tree, there are several folders: wp-admin, wp-content, wp-includes.
What is the standard?
Maybe directly under the wordpress folder or are already stored all the .php scripts ???
thank you