A URL tells you where to get some data, like https://example.com/index.html

A URN tells you which data to get (usually by hash or by some big centralized registry), but not how to get it. DOIs in academia, for example, or RFC numbers. Magnet links are borderline.

URIs are either URLs or URNs. URNs are rarely used since they're less practical since browsers can't open them - but note that in any case each URL scheme (https) or URN scheme (doi) is unique - there's no universal way to fetch one without specific handling for each supported scheme. So it's not actually that unusual for a browser not to be able to open a certain scheme.