The setting can be found in "Privacy & Security" System Settings which has four options available for the setting.
If you are not getting prompted even though this setting is configured to prompt you, then maybe their is a hardware issue somewhere (computer port, cable, external device). You can try changing the setting temporarily to "Automatically when unlocked" so you can check the Apple System Profiler to see whether any part of the external SSD is seen (USB controller for the SSD or the SSD itself).
Make sure to connect the SSD directly to the Mac and disconnect all other external devices in case one of them is causing a problem.
Try booting into Safe Mode to see whether you can see the external SSD.
What is the make & model of the external SSD?