Cinema game ?

I have always liked the idea of making a standalone game which is similar to the Cinema mod on the game Garry’s Mod. Can this be done using Unreal engine as I’m very confused on how I would be able to stream media to the Screen. Does anyone have any knowledge about this sort of thing ?

example: Garry's Mod Cinema Gamemode! - YouTube

I am sure it would be possible, but it would not be easy…