Deploying GPO policy without local file share

Background: I am helping to deploy a corporate screensaver across the organisation. The current IT policy is not to have any local file shares, all files are hosted in SharePoint instead.

Is there a way to deploy a this with the FileShare limitations in mind? It seems that even for logon scripts I would require a location to point the script to.

Do let me know if I am understanding this incorrectly as creating of a GPO policy within my current organisation requires a ticket and a couple of approvals.