When you paste text from a web page into OneNote, it won’t just paste the text. You’ll also get a link to the web page you got it from. You can disable this feature if you like, forcing OneNote to only paste the text you actually copied.
Unfortunately, you can only disable this feature in the classic desktop version of OneNote, named “OneNote 2016”. The new, universal app version of OneNote included with Windows 10—just named “OneNote”—doesn’t have many options, and won’t allow you to disable the web links. The newer OneNote has a simpler interface, but the older OneNote is just more powerful.