include 'http://…' in a plugin

I’ve written a very basic plugin that detects a shortcode & replaces with the contents of another php file.

If I put that file inside the plugin folder and use:
include 'example.php';
it works no problem.

If I put it on another website and use
include 'http://example.com/example.php';

It doesn’t work.
Is wordpress stopping me from referencing external files?
I want to use the contents of that one file for several sites in different locations – this plugin means I can update the one file & reflect it on all sites.

I’ve googled the heck out of this & come up with nothing.

Thanks all.