I can't seem to find any information on this. If a person is making an essay, or a research paper there are specific rules about citation. Such as, if a specific fact is used in a paraphrased way, a citation has to be listed for where those facts came from. For video making, I haven't seen any information about it. I've found how to cite a video in a paper, but not how to cite a paper in a video or if it's even necessary. Since I'd be making a Youtube video, I could have my sources in the description, maybe even at the end of the video itself, but would I have to cite things as I'm saying them? I don't think so, but I'm also not sure either. To be honest, I've seen educational Youtube videos that don't do this, but a lot of those videos don't even cite their sources either.
The big disadvantage of citations that are part of the video itself is that they can't easily be a link, or even copy-pasted into a search engine like a text citation. So if it's a URL, the viewer will have to pause the video, and type the URL manually. You could use YouTubes "cards" function to add links as pop-up interactive overlays, but I think you are limited to 5 links per video.
I would put my citations in the description, and in case the video gets embedded somewhere else, give them at the end of the video as well, perhaps with a link to a page where they could be found.
There is no set convention that I know of, unlike citations in papers or books. There is a podcast that I listen to that does give citations, but they just tell you how many at the end and send you to their website to read the transcript to find them. I don't think most viewers are expecting them, except for the implicit citation you give when you say something like "in a 2019 study by Dr Stib, it was noted that…" when citing other's research.
Some YouTubers add screenshots or images of the sources (I mean part of the source text) to the video and since you are using YouTube you can add those info buttons which will appear in the top right corner of the video.
I agree that it would look a bit weird if you showed full URL addresses in your video, but video description is great place to “hide” them while still being accessible.
In general, I think it is great idea to citate correctly in video, it’s not required but makes your content more trustworthy. Hope this helps.