I see! So it looks like there aren’t currently any menus created. You will need to create a menu in order to add the custom link.
Since your website does currently have a menu added, your theme is probably not using the menu tool to create it. How are new menu items added to the menu? Do they automatically get added when you create a new page?
I can see two options:
1. Update the theme to allow creating menus in the menu tool, and recreate your menu there, or
2. Use the Page Links To plugin to create a new page that links to a custom URL. You could leave this page blank and just title it with whatever you want to appear in the menu. If your theme is automatically adding new pages to the menu, then this will also be added, but when visitors click on it, it will go to the custom URL.
Cheers
Tessa