You can as a rule, however this may be brand/model specific.

Typically, smaller form factor hard drives using 2.5 inch hard disk drives, or Solid State hard disk drives will function when connected to the Nokia Lumia 2520 via a USB 3.0/2.0 OTG cable.

If your USB hard disk drive has a power cable, please ensure that this cable is plugged in before connecting to the Nokia Lumia 2520.