You can use the datasheetURL property in conjunction with the set_module_property TCL command to specify that your component has a datasheet which resides on a local drive. When using the datasheetURL property specify your path using the file: URL URL schema.
All file references are relative to the location of your components _hw.tcl file. For example if you have a datasheet called datasheet.pdf that resides in the same directory as your _hw.tcl file you can reference this datasheet by adding the following line to the module properties section of your _hw.tcl file:
set_module_property "datasheetURL" file:///datasheet.pdf