If there is a plugin writer out there who wants to take this on ...
The newly-added per-book custom data facility could be used by a plugin to associate a path or paths with a book. The plugin could ask for the path if one is not defined, and open an explorer on that path if it is defined. I could even see it supporting specific file types and opening those files using the system-defined program.
Another thought would be to associate specific objects instead of a path. I am imagining opening the plugin, then dragging objects onto it. The plugin would record the pathnames. Other plugin operations could open the containing folder or (as above) open the file with the system-defined program.