Thanks Juraj. For anyone else with a similar issue, I found a working solution using the IIS Url Rewrite module.
If a request comes through IIS for the folder containing the videos and the HTTP_REFERER is not my domain. Then I rewrite the url to point to the pages containing the links. They can then click the link to view the video. If the user is not logged in they get sent to the login page. Those without access will be denied by the login page.
The rewrite rule looks like this:
<rewrite>
<rules>
<rule name="Protect Videos" enabled="true" stopProcessing="true">
<match url="^TrainingVideos/.*" />
<conditions>
<add input="{HTTP_REFERER}" pattern="https://mydomain.com/.*" negate="true" />
</conditions>
<action type="Rewrite" url="Home/Training" appendQueryString="false" />
</rule>
</rules>
</rewrite>