Sorry, no, Renoise does not support this. Apart from plugins, the songs are always saved as self-contained units.
I’m trying to find a cross platform solution
I’m not aware of a SFZ player which is completely cross-platform. But, since the SFZ file itself is “cross-platform” (it’s just a file format), you should be able to use whichever player that is working on your particular platform.
At least, for the more simplistic SFZ it should sound the same no matter what plugin is playing it?