It isn’t made to. Microsoft Excel isn’t expected to open Microsoft Word files. Don’t expect OneNote to open anything but OneNote files.
Although, OneNote Online is not designed to open other application files like Word, Excel, PowerPoint, audio and video files it is very common to see various files embedded in OneNote files.
This is a pretty big limitation if you are focused on existing in a cloud-only environment. Unfortunately, the reality is that files embedded in OneNote Online must be downloaded and then viewed. A great alternative to embedding files is to simply insert hyperlinks to files, instead.
For a comprehensive list of the differences between using a notebook in OneNote online and the desktop version of OneNote, check out this Microsoft article: https://support.office.com/en-ie/article/differences-between-using-a-notebook-in-the-browser-and-in-onenote-a3d1fc13-ac74-456b-b391-b633a62aa83f.