JMP intern Katherine Li developed this script to connect to a personal Microsoft OneDrive folder, download a .JMP file using the built in browser download facility, and then open it in JMP taking advantage of the file associations with .jmp files.
To use this, though, you will need to obtain a client ID and secret for your organization. For a personal account, this might not be a problem. For a larger corporation, this usually involves IT applying permissions to the Azure/Office 365 account and creating those items for you. If you are a personal user, do a browser search on "Microsoft OneDrive client id secret" to see some sites that can help.
You will also need to supply the name of the file that you wish to download. JSL can be used to extend this script to cycle through a folder and download multiple files.