To my knowledge this isn't possible -- Sorry in advance if not true!
In EG I'm primarily executing Program code on REMOTE (Linux) server though. However, in some EG projects I need to execute code locally (eg import data from Excel or local drive) and then uploading that to REMOTE server for further processing. Currently, I switch over to PC-SAS to do that, then swivel back to SAS EG to finish up REMOTE process. It would be really slick if I could simply add statements in SAS EG Program that would execute code locally on PC rather than remotely on Linux.