According to this [https://blog.eu.playstation.com/2016/11/09/how-to-transfer-your-data-from-ps4-to-ps4-pro/], you should be able to transfer everything with just an ethernet cable and being signed into PSN. No external HDD needed.
Ooh, this is a good pointer from them:
For the data transfer, only your new PS4 Pro will need to be connected to your TV. Sign in to the new console with your PSN ID and password to get started.
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