Connection of external storage devices is possible - with some caveats...
To be recognised by iPadOS, the attached USB storage device must be formatted to FAT, FAT32, exFAT, APFS or HFS+ with a single partition. As the iPad has limited power capabilities, dependent upon the Storage Device, an external power source is often required. For HDD, an external power source is definitely required.
iOS/iPadOS has no facility or capability to (re)format a storage device; to do so, you must format the storage device externally, using another computer.
If your iPad Pro has a Lightning port, you will need to use an Apple Lightning to USB3 Camera Adapter to connect USB devices to the iPad. This adapter has both a USB 3.0 Type-A connector and an additional Lightning port to supply power, from your Power Adapter, to both the iPad and connected device. The Power Adapter must be rated at 12W or more.
- Lightning to USB 3 Camera Adapter
https://store.apple.com/uk/xc/product/MK0W2ZM/A
If you have one of the newest iPad Pro models, with a USB-C connector, you may need to utilise a powered USB hub (i.e., it has its own source of power) - connecting both the iPad Pro and the storage device to ports on the hub.
The external storage device will obviously require an appropriate USB3 cable to connect to the USB port of the Lightning to USB3 Camera Adapter, or USB hub if used.
Some additional information can be found here:
Connect external devices or servers with Files on iPhone - Apple Support
https://www.imore.com/how-use-external-hard-drives-your-iphone-or-ipad
Your iPad can also directly access SD Cards using an appropriate Card Reader adapter. Many SD Card Readers are sufficiently are sufficiently low-power as to be usable without the need for an external power source.
I hope this information proves to be helpful to you.
