With the Dialog Audio Component you can choose the location that will look and load the audio clip with the dialog line.

Resources:

This method will look into the Resources folder (taking into account the active language folder path) for the audio clip that matches the name of the audio clip reference property. The downside of this solution is that all the dialog audio clips have to be located inside a Resources folder which will be included in the application package.

Custom AudioClip Loader:

The custom package option makes it possible to load the audio clip using a custom audio clip loader that is defined by the game. This method allows games to support loading audio clips from asset bundles. Please refer to the manual or look into the Tutorials/Script folder on the way in which it is possible to load audio clips from an AssetBundle using Unity's AssetBundleManager.