Heat pump water heaters are self contained, there is no outdoor heat exchanger or fresh air intake/outlet from what I've seen. However I've heard of people creating their own fresh air intake/outlet. People also do this with dryers so that they are not exhausting conditioned air.

Exchanging heat with well water or a buried ground loop while possible, would be extremely expensive and require modifications to the well or digging out a ground loop.

Edit: Outdoor heat exchanger systems exist but the one OP posted is a self contained unit.