If you're talking about something like content caching, such as what Apple uses with Caching Server, then no, this is something that Jamf doesn't have support for yet. It might be on their radar, but I don't know.
If this dmg is truly available on every device after setup, then it is possible to craft a script that would locate and mount the disk image and install whatever is in it that can run thru a Jamf policy.
Otherwise, by default all clients need to download your pkg or dmg files from a distribution point set up in the Jamf console, not from a local machine that already has it.
