Avoid downloading dependencies during the build

[madolson]

          I would like to see some way to not download dependencies during the build, at least optionally.

Offline builds are common to guarantee that a project doesn't have any online dependencies that have not been verified in advance. Supply chain attacks is the main concern. License/legal problems is another.

I suggest we add some environmant variable to provide the dependencies using a local paths and CMake can use these instead of downloading them if they are provided. It can be added in the future though.

Originally posted by @zuiderkwast in #1 (comment)