I don’t know if this is answering your question or not, so I’m sorry if I’m missing the point. I’m a brand-new proxmox user too. I have a mini-pc that has a 4TB usb drive attached to it, and when I installed proxmox on the mini PC, proxmox saw the internal drive as disk 1, aka /dev/sda. The usb drive? Disk 2, aka /dev/sdb. Following some tutorial out there, I wiped the usb and set it up as a ZFS drive, and I can attach any chunk of it to any VM I spin up. If I try to run an OS off of it, it’s pretty slow, but I can attach a chunk of it to a VM in a mount, so a VM can have my movies ‘in’ the VM.
I’d imagine you could attach the usb that way to your Plex VM, where the VM’s OS is on the main storage of the PC, and the media is on the external drive.