Hi and Welcome!
the problem is, that Win95 does not support USB 2.0 HiSpeed - and this is what you want for operating an external CD burner. Additionally, Win95 USB support is poor in general, and USB mass storage drivers (you need them for external drives) for Win95 are hard to get or even unavailable.
The only option then is an internal drive. You can buy a bare drive since the software that comes with retail bundles does not work on Win95. Perhaps the free ImgBurn will do.