As far as I can tell, Apple Mail messages are stored in a dizzying nest of folders (labeled V2, V6, etc.) in the Mail folder in your User's Library. Unless you are willing to move everything in your User's Library to an external drive, I don't think you can do what you want; that is, selectively move one application's folder out of your User's Library.
On a Mac since 1984.
Currently: 27" iMacs, Macbook Air, macOS 10.14.x,; iPhones, iPods and iPads galore!