eDiscovery Premium & Non-O365 data

Hey everyone, I have the following issue as I'm testing/learning eDiscovery Premium features.

We're still have files on on-premise Windows file servers. We use OneDrive only for our user personal files.

As I test eDiscovery Premium, I realize that in order to query information relating to a case from on-premise files (excel, word, pdf, etc.) I must upload those files to a review set. Is there another way to address this?