After You have completed OneDrive Setup it should save the attachment file to Your OneDrive and open it from there ... but that's kind of a half workaround and not a normal solution.
For a proper solution there are quite a few alternatives, but I suggest to try "Attachment Preview" solution on AppSource.
Check if there is a fact box with attachment Preview - but I am leaning towards that this is only for some 3rd party extensions and not an option to have in Out of the Box solution.
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