Can I use an external USB DVD player with iPad Air?

Sorry, but iOS/iPadOS devices fundamentally do not support optical media drives.

To import music to your iPad from optical media, or play video files, you must use either a Windows PC (with iTunes for Windows installed, or more recent Apple Devices App) or a Mac computer (with iTunes or Finder - as appropriate for the installed version of macOS) to first import or copy the media to the computer. You should note that import of DRM/copyright-protected media may be inhibited.

After a legitimate copy of the media has been copied to your iTunes Music Library, you simply need to synchronise your iPad with your computer:

Sync iTunes content on PC with devices on Wi-Fi - Apple Support