I've run the sitemap generator, and it has scanned my site and successfully identified all pages and linked to external links. However, I'm struggling to find a way to export that to show that external link X is linked to from my site page Y.

Is it possible to do that? I just seem to have a CSV of all internal pages, and another CSV of external links, but nothing that shows the relationship between the two.

Thanks

See:
http://www.microsystools.com/products/sitemap-generator/help/sitemaps-generator-analyze-links/
http://www.microsystools.com/products/sitemap-generator/help/find-broken-links-website/

That said - if you want to make reports containing a wide variety of data columns such as "linked-by", check A1 Website Analyzer (sold discounted when bundled with A1 Sitemap Generator)
or
https://TechSEO360.com which is a tool which combines functionality from many of the A1 tools including both A1 Sitemap Generator and A1 Website Analyzer.

A1 Sitemap Generator alone is focused on sitemaps and also helping webmaster solving most common problems such as linking errors.