While @Lwpwrlvr is correct that this forum generally recommends storing all of your media on a separate NAS device, it is not absolutely required. If you already have your media stored on one or more external drives it will work just fine to connect them directly to the Plex server. That being said though you may still want to consider moving your storage to a NAS device at some point simply so that you can set up parity and protect your data in the event a drive fails.
In reference to your other question, Ubuntu is the recommended OS if your are going to be using the box as Plex server with quicksync hardware transcoding. You can find more details about setting up a Plex server in the following thread from JDM.
I hope that helps