USB OTG sends out digital signal, not analog one. So it should connect to a DAC, not an amp, if you want a better conversion. On the other hand, if it is just amplification ( like volume and detail) then you should connect the headphone-out or line-out of your DAP to the external amp. Amplifier takes only analog signal and sends out only analog signal.
If you already managed to listen to music using Onkyo HF Player, as you say you did, you actually must have connected it to an external DAC, not an amp, as you said.
And yes, USB OTG function is available on some external devises and not on some. Some Android versions don't support OTG. You may double check before you buy anything new. ALSO, some music players don't support USB OUT. Some do, like USB Audio Pro.