This is related to T170779. Any external link given in Wikidata, Wikisource etc. does not work when the link contains an Indic character which can be decomposed by Mediawiki as main character plus nukta (underdot). For example, য় can be decomposed as য + ়. In the Wikidata item [[ https://www.wikidata.org/wiki/Q56864029 | Q56864029 ]], the reference for birth and death dates should have been https://www.ebanglalibrary.com/bangladictionary/অশোক-চট্টোপাধ্যায়/, but this does not work. So, it was given as https://www.ebanglalibrary.com/bangladictionary/%E0%A6%85%E0%A6%B6%E0%A7%8B%E0%A6%95-%E0%A6%9A%E0%A6%9F%E0%A7%8D%E0%A6%9F%E0%A7%8B%E0%A6%AA%E0%A6%BE%E0%A6%A7%E0%A7%8D%E0%A6%AF%E0%A6%BE%E0%A7%9F/. This is very cumbersome. But the link having this type of character will work if the link goes to another Wiki site (like Wikidata to Wikipedia, Wikisource to another Wikisource etc.)
Another related problem. If you save a sentence in Wikisource containing a character which contains nukta after decomposition, it will automatically decompose on saving. Even the character set of Wiki Editor contains decomposed letters only (য় of Wiki Editor is য + ়).
So, basically it seems that characters that contain nukta on decomposition get automatically decomposed on saving, in all the Wiki sites. That is why external links containing such characters do not work.