I would venture to say that this would not fit within the scope of Stack Exchange's mandate. It's goal (as I understand it) is to become a repository of good questions and answers (though I am having trouble finding documentation to that effect). Questions that simply link to another website are basically just advertising, and are not within the scope of SE.
Even if the entire question was posted on Puzzling.SE, but required a link to an outside website in order to solve the puzzle, that doesn't help anyone who finds this question in the future, after the linked-to site has rotted away. At that point, the post will be essentially useless, since there will be no way to solve the puzzle.
So the external website could be fun/useful in the immediate, but is a bad idea for the long-term, which is something that is important to consider when posting both questions and answers.