Yes, you would typically add a js library in the list of scripts under the Scripts & styles tab of the harness. You could include it either as a standalone js file or as a bundle.
Just so you know, Pega 7 already includes jQuery, and it is included in every harness. It is included using a static bundle pzpega_ui_jquery. Check the version of jQuery included in that bundle for the version of Pega you are on.
Could you please elaborate on how you are calling external URLs. I believe you are trying to make some AJAX requests. Cross-domain AJAX requests are in general blocked by browsers, unless you are using a setup like CORS etc. I do not think PRPC does anything to block AJAX requests.