As far as I'm concerned, there is no way to do what you want, with the current modules in SignageStudio.
I think I saw admin write somewhere, that the developers are redesigning the ad-engine to support 'ad-packages' that you can easily edit.
If you were only using images, you could've used the HTML-element to link to an external server (ftp), and show the images with a javascript slideshow. I wouldn't do that with video, though..