MacOS Catalina – External Hard Drive not sleeping when lid closed and laptop sleeping

There is the simple answer and the clever answer.

The simple answer is listen for the external drive spinning. If it's sleeping, you will not be interrupting data transfer (but you will be yanking an open filesystem from a sleeping computer but that's not a new issue introduced by Power Nap).

The more clever answer is to observe other things that may be happening like network traffic by sniffing the traffic and seeing if the machine is sharing files or available to ssh into if you have sharing turned on. This takes more work and an iOS device or another computer and certainly won't be faster than just opening the lid of the Mac and knowing it's not napping anymore.

In the end - it's probably worth re-training your workflow to just open the lid and eject things properly. Since Power Nap is only supported on Mac that have Apple supplied integral SSD and ridiculously fast wake times, the delay to perform the eject cleanly is less than 10 seconds excluding however long your external drive takes to wake.

According to Apple:

Put hard disks to sleep when possible

This setting powers down the hard drive motor when you aren't reading or writing files from the drive. Solid-state drives (SSDs) don’t have moving parts, so this setting doesn’t affect Mac computers that use only SSDs to store data.

Consider deselecting this option if you have an internal or external non-SSD drive and you use apps—for example, pro audio or video editing software—that work better with continued read and write access to the hard disk.

^{Source: Apple: Use the Energy Saver settings on your Mac [Bold emphasis mine]}