I just built a new coop and initially I was planning to have external access nest boxes. Then one day I realized that in order to do that I was going to have to cut a hole in the wall of my coop, and then affix the nest boxes in such a way that there were no leaks in the coop. This realization, I will add, came after reading multiple threads about people having issues with leaks in their coop at the nest box seams. And then I realized that my coop is a walk-in coop and as such, I will be walking in daily to make sure there are no birds with health issues who never left the roost that day, and that the feeder still has feed in it, and while I'm there, its easy enough to grab the eggs. So I went with internal nest boxes.
I can see doing an external set up if space was an issue - it is a way to increase the interior coop space if you find yourself with more birds than you originally planned on.