Still not supported and as it appears there’s not super much demand for it.
There’s been a related suggestion asking for an option to store specific local media assets for collections alongside your media files (1 vote as of today).
I believe somebody once explained how they tried adding local media assets (incl. themes) to a collection using URL commands / APIs. Thought I couldn’t find that thread to check if they succeeded. Edit: found it and apparently it didn’t work for them, so they created a separate suggestion to support managing themes and artwork from within the UI or via an API/URL.