Yes, but you need to sync your OneDrive music folder to your local PC (in OneDrive settings). They will then take up space on the PC, so you'll need to have room for them. Groove is the only player that can play online-only OneDrive music.
Once you have the music synced to your local PC, you can play it in WMP, just like any other local music.
Also, depending on what features you're missing in Groove, send feedback in the Feedback Hub. Supposedly, Groove will eventually fully replace WMP once they add all the missing features, so if you're interested in using Groove, send feedback so they know which features to prioritize.