I do not see how to embed an Adobe Story ASTX file into a clip via OnLocation. The Adobe Story Help file says "see Integration with OnLocation and Premiere Pro." But that section is not in the help file.
This is not supported in OnLocation CS4. In case you have access to any pre-release builds of OnLocation CS5, please write to us at adobe dot story at adobe dot com mentioning the build number and we can guide you through the process.
Hope this helps.