@MyKo101 has the best long-term solution. A workaround is creating a keyfield for use in reporting. The idea is that even though data is being processed locally, it's not personally identifiable unless somehow the combination of variables can be uniquely traced to a handful of individuals.
Presumably, your reports are roll-ups, reporting data in aggregate into relatively large categories (all patients in King County, WA, for example). And, also, with moderately well-provisioned local work stations, the data can be kept in memory without writing to disk, and so should be flushed if you don't save .RData. This means that the user should get into the habit of savings scripts, not source data and scripts‐recreating a report from the source data over a secure connection is safer than saving the source data locally.
This requires a level of workstation security that anyone dealing with PHI or similar data should be maintaining. This is, of course, more difficult on some operating systems than others.
Ultimately, I do agree that setting up virtual access for all storage and processing is preferable. With GB-bandwidth, speed should no longer be an issue at all.