Many USB Storage devices require more power than a Lightning port can supply - and yes, external HDD requires considerably more power than a microSD card.
As the iPad has limited power capabilities, dependent upon the Storage Device, an external power source is often required. For HDD or SSD, an external power source is almost certainly required.
If your iPad Pro has a Lightning port, you will need to use an Apple Lightning to USB3 Camera Adapter to connect USB devices to the iPad. This adapter has both a USB 3.0 Type-A connector and an additional Lightning port to supply power, from your Power Adapter, to both the iPad and connected device. The Power Adapter must be rated at 12W or more.
- Lightning to USB 3 Camera Adapter
https://store.apple.com/uk/xc/product/MK0W2ZM/A
If you have one of the newer iPad or iPad Pro models with a USB-C connector, you may need to utilise a powered USB hub (i.e., it has its own source of power) - connecting both the iPad Pro and the storage device to ports on the hub.
Some additional information can be found here:
Connect external devices or servers with Files on iPhone - Apple Support
https://www.imore.com/how-use-external-hard-drives-your-iphone-or-ipad