@dalves
If you mean Excel Online - so far it doesn't support references on another workbooks, thus that doesn't work.
If you mean Excel Desktop working with files kept on OneDrive - same way as with files on local drive or on network share, the only file path looks bit different, like
=XLOOKUP(A1,
'https://n-my.sharepoint.com/personal/acc/Documents/[Book1.xlsx]Sheet1'!$A$1:$A$11,
'https://n-my.sharepoint.com/personal/acc/Documents/[Book1.xlsx]Sheet1'!$B$1:$B$11)
The easiest way in such case is to open both files, create references by selecting ranges by mouse. After the file is closed path will be added to reference automatically.
