Access has never been able to link across a Wide Area Network. I think that is the issue rather than SharePoint library per se. If the SharePoint were on the local area network - it might well be able to link to it. I'm actually not sure
- but I think it would be identical to a local server in the generic sense.
Beginning with Access 2013 - one can split a classic Access database and put the back end table onto a 365 service in the cloud as SharePoint Lists. It is not what you seek - but I thought I would throw that in for the sake of full disclosure.
I believe one would need to do a manual download of your excel file, and put it in the same folder each time on your local area network in order to link to it.