Crossword Puzzle

No. When you publish, SL creates literally dozens of folders, and hundreds of files. Anything you put in your story (videos, images, audios, javascripts, anything) is saved as part of the published package. That way, you can publish to a CD, and send the CD to someone, and they have access to it all. So if you create a puzzle file, place it on your local storage,  and link to it, when you publish, it will be sent with the published content, just like the other materials you place in your story. In this case, it will be placed in a folder named story_content/external_files. It's location will be as accessible to the end user, as the story file itself.