Is it possible to physically add data storage to an iMac?

You can make an Alias of a folder on the external drive and copy that Alias on the primary drive where ever you want it to make it easier to seamlessly use the external. The Alias doesn't take up much space on the drive, but is essentially a link or shortcut to the actual folder location where the folder and files that it contains are stored.

Kind of like a secret passage from the Study to the Kitchen in the Clue board game. The kitchen is not actually in the study, but you can get there in one move to the opposite side of the board.

iMac is more of a consumer home computer build to order, the Mac Pro is a professional machine and more user-upgradeable. Even over a few model years difference, you can't really make a fair comparison of specs across those target demographic markets. Not noticing specs when buying a computer? That is literally how you buy a computer, look at the specs, am I right?

You could have configured the new iMac with up to 2TB of storage during purchase. That was entirely your decision. You cannot add more internal storage after purchase, but you can as mentioned connect external hard drives for more storage.

As I said the amount of storage was your choice entirely. If you did not choose more storage, then that’s entirely your decision. It has whatever storage amount you choose, or the default if you made no choice.

If purchased from Apple within the last 14 days, you can it for a full refund, and acquire an iMac with sufficient internal storage.

Otherwise, you can connect external storage to your iMac, as mentioned above. SSD or otherwise. Several of the Mac mini boxes I deal with have most of a hundred of terabytes connected externally, for instance.

You can connect an external drive for additional storage.

No. It won't flow automatically.

If you bought it directly from Apple, you have 14 days to return it for a refund.

Your very old Mac Pro desktop probably had a mechanical hard drive, instead of a SSD.