The WH-1000XM4 does not have an SD card slot. Music playback is possible via Bluetooth, NFC or a wired connection, but not directly from a memory card. Currently, Sony does not offer headphones that have an SD card slot or support playback directly from an SD card.
No, just connect a Bluetooth-enabled player with an SD card slot to these headphones. I don't know of any headphones with an inbuilt player and SD slot, but they will certainly never offer the sound quality and noise cancellation of the Sony.