Sometimes, you might need to create a desktop shortcut to Onedrive documents. Below is a method for Excel documents which can be used for any MS Office document.

First, you would need to find the path of Excel.exe on your computer.

Launch Excel
CTRL+SHIFT+ESC to invoke Task manager
Right click on Microsoft Excel in Task manager
Click Open file location
Copy the path from address bar of File explorer and put \Excel.exe at the end of the path
On my computer, it becomes - C:\Program Files\Microsoft Office\root\Office16\Excel.exe

Paste this path in a Notepad file. Let's call it String1.

Now you would need to find the path of Onedrive file.
Launch Excel
Click File, Click Open
Now navigate to the file in Onedrive
Right click on the file and click Copy path to clipboard. Let's call this String2.
On my computer this is - https://d.docs.live.net/e11b26eeaacb7947/EforExcel/Test%20Document.xlsx

Now paste this path in that Notepad file after String1 and keep a space between String1 and String2.
Now enclose String1 and String2 between double quotes - "String1" "String2"

Hence, your complete path in my example case would be
"C:\Program Files\Microsoft Office\root\Office16\Excel.exe" "https://d.docs.live.net/e11b26eeaacb7947/EforExcel/Test%20Document.xlsx"

To create Shortcut - Right click on Desktop
Click New and then click Shortcut
Now copy the complete path from Notepad by selecting it and CTRL+C and do CTRL+V to paste the complete path into Type the location of the item: box
Next (It might put C: at the start of the path in this box. Then you will have to remove this extra C)
Give it an appropriate name and press OK.

Your shortcut will be created on the Desktop.