You should be able to do this in the Desktop but not aware of a way to do that in the service. I tried this in the service by selecting "Local File". It it allows me to connect to the file, prompted for user name and password (I used a Share link) but then it tells me that the file type is not supported (it is an Excel file and Excel files are supported). I then tried this in the Desktop and it pulled it in OK but seemed to bring it in as a web page XML document. So...use OneDrive?
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