This is not possible.
C++ has to be compiled to convert the source code into executable code. #include is a preprocessor command, which is executed at an early compilation stage to combine different source files into a single file that is further processed by the compiler.
The final executable file contains so-called machine-code that is specific for a CPU and an operating system, but in general it does not contain the source code (except maybe for debugging purposes).
Maybe you can solve your problem by an external control program that the user runs and that receives the include path as input, inserts it into the source code, calls the compiler, and executes the compiled executable.
mycode.th. Is it just data, or is it actual code?c++. Choosing another language will give you many more options for interpreters that can be embedded into your program.