How to include sources without PCH include

Development Platform & Builds
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Path.Combine(ModuleDirectory, "../../ThirdParty/glm")

Yes, Unreal build system does not build the ThirdParty libraries, as it is usually intended to build them outside, or download a built package, and include the shared libraries.

Alternatively, you could do something like that:
MyLibrary.cpp

#include "MyLibraryHeader.h"
#include "MyProject.h" // the required precompiled header

#include "MyLibraryCode_1.cpp"
#include "MyLibraryCode_2.cpp"
...