Currently it is not possible to embed videos within your screens. As an alternative, however, you can upload a static image from your video and create a hotspot that links to the externally hosted video file. That way, when a user activates the hotspot, a new browser tab will open with that video link.
You can also upload an animated GIF displaying your video content. To learn more, check out this article: How can I use GIFs for custom interactions?