There are many programs out there that can convert your data file into exectuable data.
Search for "bin2obj" and you will find a bunch of tools with the same name for various systems that do this sort of thing.
Basically all they do is dump the data into an object file's data segment and then give you a pointer to it. Think of it as a big array with all the data hard coded. You then link to the file the same way you link to any other object or library file.
There are some drawbacks to this method. For one thing the data is now embedded in your executable and is more difficult for you to modify and maintain. You cannot have your tools adjust the data without needing to rebuild that object file. It also takes up resources the entire time the application is loaded.
It is certainly a thing you can do, and it is something that many programs have done and continue to do. While it can be convenient for small projects and small collections of data, it is a practice that most software eventually outgrows. Dynamically loading your data gives much more flexibility in the long run.