If you’ve received your HTTP reply with a populated dataset, you might be able to follow the procedures here to serialize the data into a texture asset. I haven’t personally experimented with this in Unreal, but have done something similar in cocos2d-x using a method similar to what’s described here:
In any case, the principles would probably be about the same:
Send an HTTP request to the server holding the image, and identify the method to be called back when a response arrives.
In the callback method, validate that the HTTP response indicates that it’s carrying good data.
Transform the raw data contained within the response into a usable format and save it to local storage
Create an asset on-the-fly using the newly-saved data and use it.