It appears as if someone has sent you a link to their photo(s) stored in Microsoft's OneDrive. I don't have that service, nor do I have such an e-mail, so this may not work, but, jere's two suggestions:
(1) See that curvy arrow in the bottom right of your last screen shot? What kind of pop-up do you get when you press it? Hopefully, you'll see something like "save to photos" or "open in Safari." If you get either option, what happens if you try to do either? Or,
(2) Copy the link in your original e-mail, open Safaei and then paste that link into Safari's URL box (in the top, middle).
From your description, it sounds as if the preview function of the e-mail app you are using is not acting precisely like Safari. That's why, I believe, it won't save the photo(s) to your iPad. The Evernote does the same thing to me. If I use a link to a picture, the Evernote browser won't let me save the photo, I have to use Safari.
Anyway, and hopefully, by opening the link in Safari, you'll be able to take advantage of the "save" function.
Marilyn