It depends on how the OMF has been made. You can choose to embed (normal) where the actual audio files are Muxed into the OMF or you can store them separately - In 20 years using OMF ive never had, or made one this way, but i know you can.
OMF is very much on the way out as it is old tech. Now an .aaf is the replacement that does the same, but carries a lOt more metadata etc with it.
Have a look at the .omf file size. If its only a few kb then it has no embedded audio. If it is much bigger, then it has.