It needs to be directly downloadable from the external site, not a redirect or login gate.
https://file-examples.com/wp-content/uploads/2017/11/file_example_MP3_700KB.mp3
https://file-examples.com/wp-content/uploads/2017/11/file_example_MP3_700KB.mp3
Or you can upload the mp3 directly, I’ve updated the example in the earlier posts to show a direct mp3 upload.