I have the same issue. I tried with a simple .mp4 file in a directory with free access on internet and a quite small file : 3Mbytes.
The result is the same : "Could not fetch data from url. Document or access right...."
I searched into the code and found the same function as @youngTl in the odoo v13 code :
the only url authorized are from : 'youtube.be', youtube.com', 'www.youtube.com', 'm.youtube.com'
and docs.google.com and drive.google.com with some /d/ in it's url
everything else will return the error we got.
I didn't found the trick to get it from drive.google.co.
but after some difficulties, I succeded to do it with this url : https://drive.google.com/file/d/1AeaRXWV2Jg1K0jqC6Nlm4YQvO7XZamn5/view
so I succeeded to register my video in my lesson, but when I when to display the video I get this error : "Video unavailable This video has been removed by the uploader" despite the fact that the video works perfectly if I put the url directly into my browser : here, even the error message is wrong !
At the end of the day, I think that Odoo accepts only "Youtube or Google Doc URL" : it uses the url only to extract an id of document which is specific to youtube for the videos and at the end it only accepts to cast Youtube videos. Why ? It's a pity, isn't it ?
And at the end of the end of the day, as a workaround, I put my video as an additional link in an empty lesson. By this way, my students can cast it ...