Is it a remote URL? If so, the cross-domain stuff applies.
If it's a local URL, it's tricky since your game is not actually uploaded. Requesting something like "image.png" will send a request to "preview.construct.net/image.png", and your image does not exist at that URL. Normally you can just use sprites and tiled backgrounds anyway, loading a local URL seems like an unusual thing to do when you can just embed it in the game.