I was wondering if I can use direct burial 14 gauge wire from my garage about 10 feet to a new gfci outlet which I will drill through the brick to be on the outside of the wall of the garage to the outside? The garage has no drywall just going to run it through the studs

Sure, just be careful the cable, like any cable, is not subjected to any physical damage inside the garage.

#14 is only good for 15 amps, so be sure the circuit is portected by a 15 amp breaker max.