This short article shows you to link 2 Excel workbooks in OneDrive is feasible.
I created 2 Excel files in OneDrive one named Book1Linked.xlsx and another named Book1Linking.xlsx.
I then linked a cell B3 in Book1Linking.xlsx to B5 cell in Book1Linked.xlsx without any issue.
The only condition is that you need to use OneDrive app https://chanmingman.wordpress.com/2015/05/27/use-onedrive-with-windows-explorer/. There may be other alternatives that I am not aware of.