Connection of external storage devices is possible - with some caveats...
To be recognised by iOS/iPadOS, the attached USB storage device must be formatted to FAT, FAT32, exFAT or APFS with a single partition. As the iPad has limited power capabilities, dependent upon the Storage Device, an external power source is often required.
If your iPad Pro has a Lightning port, you will need to use an Apple Lightning to USB3 Camera Adapter to directly 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 charger, to both the iPad and connected device. The external charger 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.
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