I also have this issue / error when trying to connect to a CSV file in OneDrive for Business. Has anyone solved it?
Actually I figured out what was happening, and the solution is pretty dumb.
Basically you can't have any spaces (%20) in the URL string to your file on One Drive. However if you notice, OneDrive will naturally save to a library called "My Documents".
The way to get around this is to create a sharepoint group (again with no spaces in the group name). Then create a document library in that group's website (no spaces in this name). Once you create the doc library, upload your file there (again file name no spaces).
Once its uploaded, then get a copy of the URL to the file from the context menu. Modify it to make sure you have a nicely formed URL something like: