The external drive is not a folder. Select the external drive for backup when backing up files. 

my old windows 10 setup was:

C: internal 1TB OS drive w/ apps

internal 10 TB data drive with d:/data/my_files

F: external USB drive used for file history.

Under windows 10 file history, I could also add "d:/data/my_files" to get backed up to my file history.

Under windows 11 file history, I can only backup folders in C:/users/my_profile/*

To work around the new windows 11 limitations, I had to copy my data files back to c:/users/my_profile/documents so that it will get backed up via file history and all my photos/videos on too large to fit on my C: will have to be manually backed up periodically.

I've seen someone mention in another place that you could add a folder to your Library. Windows 10 File History used to backup everything in the Library, so I'd assume Windows 11 would be the same. They tested it and it worked. I'm in the middle of testing it now.

So give that shot. Find your Library and make it visible. Then add a folder or folders to a library and that should backup too.

It is a disgrace the Win 11 removed the add folder function from file history... however I think File History will backup all files (regardless of where sourced) in all Library's including any Library you create.   

I think this works ..  Create a new Library called "My File History Library" then right click the folder on your D drive and select "Include in Library".   You should then see this folder is included in file history backups.

Alternatively someone  here https://www.reddit.com/r/Windows11/comments/rvdwul/windows_11_file_history_get_around_removal_of_add/ describes a hack to the file history config file ..

You can manually add any folder directly into the File History XML file:

%UserProfile%\AppData\Local\Microsoft\Windows\FileHistory\Configuration\Config1.xml

Just add something like this under defaultly included folders:

E:\bkp this

 I'm not recommending this!   But I'll consider it as a last resort.