How do I do that if, for example, my game is downloaded on an external page to itch.io, when opening the game from the external page, for example, I close the game
That can’t be done, I think.
You can get the current URL via the url tools extension and switch to an anti piracy scene if it is not one you uploaded the game to.
Tutorial Please 
Here an example with the extension @arthuro555 mention
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THX, but when I start the preview I get the piracy screen
Of course unless you upload the game to the url specified you always going to get the piracy that’s the idea