As of now, if we open company.sharepoint.com on the windows phone and then try to access onenote webapp from there, it does not open correctly.
It thus leaves the option of opening the onenote in the native app via office.
Go to office hub -> keep swiping right till you get the page titled locations -> click on add control on bottom side -> paste the personal sharepoint online link like https://company-my.sharepoint.com/personal/yourname_company_com/documents/forms/all.aspx -> trying to open this will fail -> remove ‘/forms/all.aspx’ from link. ->List showing sharepoint content should open now. -> get into document library and onenote should open there.