This does not exist, but it has been discussed, albeit quite a long time ago:
The Clang that's linked into the Swift compiler currently does not have C23 support, so you also won't be able to use #embed directives through a C header import.
Further, the macro system runs macro plugins in a sandbox that does not have filesystem access, so you won't be able to build a custom macro that embeds the bytes of a file either. That'll have to be something done via a built-in macro. I think it would be a worthwhile addition especially for Embedded.
I can see it being quite useful in various ways—it'd be interesting to go a bit further than C and add type safety (something like #embed("config.json", decodingWith: JSONDecoder.self, as: MyConfiguration.self) I guess) although that would probably need to be implemented in Foundation.
It would be worth filing a GitHub issue for this feature.
It would also be cool to have support for embedding directories. In my opinion, this is something that Rust does right, look for example at these projects: