Many external documents / attachments from cloud locations (Sharepoint, OneDrive, Dropbox, Drive, etc) do not open directly in Blackboard due to security restrictions. For Sharepoint/OneDrive, users will receive an error that it is unable to connect to Sharepoint.
You can set a link property to "open in new window" when placing the URL in the Bb course site. To do this, click inside your link and then select the link icon in the Blackboard toolbar and the "Insert/edit link" will pop up. Click the "Open link in..." dropdown and select "New window." Alternately, you can instruct your readers to right-click on the link in their browser. That will provide them the opportunity to open the file/link in a new tab or browser window, independent of the original Blackboard embedded link setting.