Basically any page that is visible will potentially show up in the menu. Also pages that have a numeric-folder prefix that defines order, are visible unless configured not to be. So basically you can build your navigation through the admin by just creating your pages, and setting which are visible and which are not.
Currently the only way to add external links is to add them via the theme templates directly.
You can however, add a page in Grav, make it visible and then set the redirect header option so that it redirects to an external URL.