I'll briefly mention two strategies.
drat
See this R Journal article about posting the data in a package on drat, which you can mention in your DESCRIPTION file. "This paper describes how R users can create a suite of coordinated packages, in which larger data packages are hosted in an alternative repository created with drat, while a smaller code package that interacts with this data is created that can be submitted to CRAN."
Package somewhere else e.g. GitHub
Depending on the solution you choose if not the one from the paper (some inspiration in a R-hub blog post), CRAN would not install the package (and your vignette code should not download data without asking the user), so you'd also need to make sure R CMD check does not fail. I wrote a summary in a R-hub blog post
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you could pre-compute the vignette;
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you could use the purl and eval chunk options;
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you could make the vignette an article instead (present in the pkgdown website, not present for R CMD check).