I think your problem is in the way Windows is designating your external drive and passing that info on to LR. If it is being seen as a "USB Drive", LR will consider it to be portable drive, like a memory card, and reduce the import options to only two, Copy and Copy As Dng, either of which will produce the second file. If, however, the OS recognizes the external as a "Local Drive" (as my Windows 10 does with my external drives), then on LR's Import page there will be four options - in addition to the two Copy options also Move and Add. To import the original file while leaving its location unchanged, you want Add. To see the drive's designation, right-click on the drive name in either LR/Library or File Explorer and select Properties; the type should be Local Drive and the file system NTFS.
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