Umbraco Engage does not provide a built-in way to add additional data to a profile. You can store the data in any format and in any way.
Your system may associate an Umbraco Engage visitor with other data coming from an external system such as a Customer Relation Management (CRM) system.
If you want to use external data in a custom segment you have to write the data access yourself in the custom segment code. Learn more about this in the Profiling section for Developers.