1) you can connect it a computer open Finder go to apps section drag the file there
2) put the file in the iCloud and access it from any device with the files app on
3) in Safari if a link is a media file you can share it with VLC
and that's just 3 off the top of my head, I think there's a couple more. It's really not that hard, gone are the days where apps needed to run local webservers to slurp content. But actually VLC can actually probably get media that way too.