You may need to save an email to OneDrive to take advantage of link sharing. There are two different methods to do this. Both methods save the emails in different formats.
This will download the email as an .eml file.
Select the email you wish to upload, then select Create a New Message.
Drag and drop the email into the body of the new message. This will add the email as an attachment.
Select the download attachment icon.
View the file in your Downloads folder.
You can now add the email file into your OneDrive folder.