By default, Glossary will link each key term (and all related ones) to the page that contains its definition.
If you want to link a key term to a destination outside your website, all you need to do is select the “External URL” option in the “Glossary Auto-link settings.” Once selected, you will be able to indicate the destination URL in the dedicated field.
By inserting a valid address (including http or https), the relative key term will point to the indicated external address. If you want, you can signal that the link points outside of your website by adding an icon to external links. See how here.