SSD storage can be connected to iPad and iPad Pro with caveats…
To be recognised by iPadOS, the attached USB storage device must be formatted to FAT, FAT32, exFAT or APFS with a single partition. Microsoft NTFS and other proprietary formats are not supported. Formatting and partitioning, if required, must be performed using a separate computer; iPad does not provide any facilities to format an external storage device.
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:
https://store.apple.com/uk/xc/product/MK0W2ZM/A

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.
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
Using iPads standard Apple Apps, you’ll not be able to play media directly from the connected drive. Instead media must be imported to the appropriate App. However, some third-party file manager Apps do have the capability to play/view media directly from connected storage devices. Of those available, perhaps consider Stratopherix FileBrowser - Document Manager, or its “pro version” FileBrowser Professional:
https://apps.apple.com/app/filebrowser-professional/id854618029
https://apps.apple.com/app/filebrowser-document-manager/id364738545
You might review the extensive online Manual and help files to determine suitability for your needs.
https://www.stratospherix.com/products/filebrowserprofessional/filebrowser-professional-user-guide.php