The architecture of ORM Designer allows to model several bundles in one project. What might be little confusing is that the bundles are called modules in ORM Designer.
Modules/bundles inside one project can have different export paths and different namespaces etc. If you split the project to modules, you can store each module separately in separate file and share modules/bundles between projects.
How to do this is described in more detail in our documentation:
Because this functionality is in place, ORM Designer does not allow to build associations leading out of the current project.
If you for some reason, cannot use this built in modules/bundles functionality, you can simulate the external entities by creating a fictional module, populated with the entities you need to create the relations to. Then you set up your modules to export as usual, but the fictional module will have no export location set up. The fictional module information will not be exported, and the relations will point to proper entities already in place.