This is not supported at this time; they need to be on Nanacast. With an upsell/downsell sales funnel, there is the potential for many possibilities, so the requirement for Nanacast-hosted upsell/downsell sales pages allows you to load all your HTML copy into Nanacast for all your various upsells/downsells without needing to create special pages for each one on your own site.
Keywords: Upsell, downsell