Using XD's built-in share feature is always cloud-based. The closest thing I've found to a non-cloud version of this is using the Inker8 plugin. It's not perfect, but I have not found any other options so far.
You could also record a video of the prototype, but I know that's a whole different end result.
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Adobe Certified Expert & Instructor at Noble Desktop | Web Developer, Designer, InDesign Scriptor