From my testing this seems to work variably. It looks like serverless loads these files when executed as a plugin (not 100% sure but worked for our production projects?) but not in unit tests. To be 100% confident in this we should add additional code to load from file if serverless has not.
Serverless has support for breaking the yaml definition into multiple files to isolate different parts of the config. This has been an existing issue in the original library (see https://github.com/vkkis93/serverless-step-functions-offline/issues/60, https://github.com/vkkis93/serverless-step-functions-offline/issues/39).
From my testing this seems to work variably. It looks like serverless loads these files when executed as a plugin (not 100% sure but worked for our production projects?) but not in unit tests. To be 100% confident in this we should add additional code to load from file if serverless has not.