it's just an iframe so you can use an embed block and hit the </> to copy in the code. or you can use a code block. seemed to work for me. it's not a direct integration so squarespace aren't handling the transaction. opensea do all of that. worked best for me when I tried it using the widest content width you can. make sure you're using the the assets link for the collection. e.g.
<iframe src="https://opensea.io/assets/boredapeyachtclub?embed=true"
width="100%"
height="500"
frameborder="0"
allowfullscreen
/>
feel free to send me a punk or an ape in return for my services iamdavehart.eth 😉Â