when try to open a MS project file, getting an issue.

Check the registry key settings. Set the BrowserFlags DWORD value data to be “8”.

HKEY_LOCAL_MACHINESOFTWAREClassesMSProject.Project.(version)

Value name: BrowserFlags

Data type: REG_DWORD

Value: 8

Refer to this KB article for more information about how to edit register.

I am not saying it is the cause but sharePoint online (and the project web application) forces you to have the latest MS project client. If you go to the settings of the PWA you will see that opening files with MS project is not compatible with older versions of the software. At present, the latest version of MS project is 2016. And you still need to install an update file (https://support.microsoft.com/en-us/help/4011034/august-1-2017-update-for-project-2016-kb4011034)