Actually it does depend on where you would store the files.
Traditional standard solution is to embed a YouTube video within an iframe/html web resource on a form in a model driven app
PCF (PowerApps Component Framework) control would be the new way of embedding videos such as YouTube/Vimeo etc an example has already been created and showcased on PCF Gallery here – https://pcf.gallery/youtube-player/
https://github.com/365lyf/PCFControls/tree/master/YouTubePlayer