Are you able to save other types of file to the external drive?
To be recognised by iPadOS, the attached USB storage device must be formatted to FAT, FAT32, exFAT, APFS or HFS+ with a single partition. Microsoft NTFS and other proprietary device formatting are not supported.
More information about connection to external devices and storage can be found in the iPad User Guide - along with other frequently overlooked information about your iPad and iPadOS:
Connect external storage devices to iPad - Apple Support