Very Easy.
Create a page somewhere (Like in the Special Pages folder), go to the Properties -> URLs on that document, create a new alias and set it to what you want (ex "/alias")
Then, go to the Properties -> Navigation of the document, and set the Navigation to "Url Redirection" and set the external site (http://thesite.com/blah)
The alias will redirect the user to that page, which then will send them off to the other site!