External sirens are common in rural areas, but not urban ones. They are quite popular in various parts of the UK.
Assuming you live in an area that allows them, there are two that work easily with SmartThings, the Fortrezz outdoor siren and the popp outdoor siren. UnFortunately, the Fortrezz outdoor model has become hard to find. The popp is widely available, but is expensive. It does have some nice features, though.
You can find discussion of these in the following thread:
Or as @geko suggested, you can just use it mains powered siren and and use a relay to control it.
As far as what to do next, assuming that you are OK with the various reliability issues and dependence on the Internet, you might as well just start with the official smart home monitor feature and see how far that gets you.