If you have a desktop or laptop computer, you have access to the physical files for your movies. You could then copy them to an external drive. I have done this. What I haven’t done is copy one of them to my iPad and then try to play it. Even if it works, it won’t copy the file into the Apple TV app to be played from there.
Edit: I just copied a music video I purchased through iTunes to my iPad and it plays perfectly (outside the Apple TV app, as I noted). I don’t know if music videos are DRM’ed or not. My guess is that they are. My full movies from iTunes are copied onto a different drive that I can’t connect to my iPad because the connector requires an adapter that I don’t have.
I hope this helps 🤷♂️