Hi Jitender,
Copy the dataset to the VSE server, let's say under PROJECT_ROOT\Data folder. In the Script step reference the file path in the VSE server and deploy the VSM.
I am not sure how it works when you are using the scripting step, but you can also try to place the dataset in the local PROJECT_ROOT\Data and reference it in the script step. Before deploying the VSM, right click on it and create a MAR info file. Open the MAR info file and verify if the dataset is included in the MARi file.
If not, you can try to include it manually. After the MARi file is updated with the dataset, right click in the MARi file and create a MAR file.
You should be able to deploy the MAR file to the VSE.
Hope it helps.
Heloisa