Encrypt drive with private key?
You can use APFS encryption (essentially FileVault) on a secondary drives such as USB drives etc. When formatting the drive with Disk Utility choose “APFS (Encrypted)”, and you’ll be asked for a password for the drive.

When you plug in the secondary drive, macOS will automatically try to mount to mount it by opening a pop up asking you to enter the password to unlock.

If you literally want to use a private key, as in a key file (i.e. not a written password, but an encryption key) - then you’re out of luck. No such solution comes built in with macOS. However it can be done with external tools.