aspx is not a graphic format. If this external site displays these images like this, then they are doing it wrong (perhaps on purpose).
I see two options for you:
a) Save what you see when you call up this URL as a graphic. In my Firefox, all I have to do is right-click on the image > Save graphic as. You can then upload the graphic saved in WordPress.
b) My own plugin External Files in Media Library can read this URL and integrate it as an external URL in your media library as if the file had been uploaded to your project: https://www.ads-software.com/plugins/external-files-in-media-library/ – Disadvantage: You are dependent on this file being constantly available on the external server, even if the plugin checks this for you.
