The only way I see is to write a CLR stored procedure that will go to the url to fetch the XML. But the assembly will have to be configured as EXTERNAL_ACCESS or UNSAFE, what may raise objections from DBAs.
In my opinion, it would be better if you had business layer functionality that would take the xml and pass it to your stored procedure.
Regards
Piotr
...and your only reply is slàinte mhath