You are working with a smart preview, and smart previews cannot be opened in any external editor. The reason is that the external editor, whether it is Photoshop or some other program, will necessarily create a new file with the results of the editing. Photoshop will not make changes to the smart preview. You can work on smart previews using Lightroom because those adjustments will all transfer back to the master image when connected. But external editors are necessarily not available when using smart previews.