I’m guessing you’re trying to add an additional <li> element within the nav_sub created unordered list.
If so, it is not currently a feature in Structure. I added some code to Structure to do this exact thing for a client site and it worked very well. There are a few ways you could do this.
If you want the external link to be at the front or back of your list and the first and last <li> elements do not need specific styling then you could just add your link in its own unordered list right before or after your {exp:structure:nav_sub} tag.
You could also create a specific template just for that page and have the template have no code other than a redirect. A weird solution but it should work fine.
That said, I think this might be an “out of the box” feature with the next version of Structure.