A featured image in WP is set by setting the meta_key ‘_thumbnail_id’ in for the post to the ID of an image in the media folder. There is not a way to set the featured image using a URL it the image is not imported into media.
It might be possible to add filters to all of the WP functions the get and/or display the featured image to replace the URL in some places. If this can be done would depend on what the theme is using to display the featured image and adding filters to your functions.php file to modify the return for those functions.
