I know I can make a menu view with a link to the url, but is it possible to just embed the external site into a particular scene?
If the website is record specific, you can put iFrame or embed code in the source of a "Rich Text" block. But if you want it to be more global, your best bet is to use jQuery and inject the iframe or embed code into the element where you want it to show. You can do this in the App Builder by going to API and Code -> Javascript.
I'm sure that Knack would want me to mention that by doing this, you are potentially messing with the functionality or display of the Knack tool by injecting content they can not control, but as long as you accept that risk, it is possible.
I hope this helps.