You cannot add local extras to the regular libraries. However there’s an active beta of the new/future Plex TV-Show scanner/agent which is adding that feature for tv-shows as well (among other new features).
The new agent will support extras on show, season and episode level. While the extras for shows and seasons pretty much follow the structure and naming schema for movie extras, the handling for extras on episode level is a little more restricted.
Example:
TV Shows <- the folder linked to your tv-show library
My Show <- the show's folder
Season 01
My Show - s01e01 - Episode Name.ext
My Show - s01e02.ext
My Show - s01e02-deleted1.ext
My Show - s01e02-deleted2.ext
...
Behind the Scenes
Season 1 Gag Reel.ext
Making-of Season 1-featurette.ext
Shorts <- extra folder for show-level short movies
Show Short A.ext
Show Short B.ext
Show Short C-short.ext
Where .ext is the file extension.