If you have appimage.yml that looks like this:

only showing a snippet.

# mitmproxy is a python application
app: mitmproxy

build:
  packages:
    - unzip
    - ...more packages...
  files: 
    - https://www.openssl.org/source/openssl-1.0.2.tar.gz
    - https://www.python.org/ftp/python/3.5.3/Python-3.5.3.tgz

...more...

it should download the files specified from build:files: section.

Per the build-pkg2appimage, the pkg2appimage it seems the script does not
implement the files section to download files.  The original script by probono
does not have that either so I'm not sure if it should be implemented or not.