The feature of loading chess games from a PGN file is not officially supported by the wordpress plugin.
However the unsupported extended option feature could be used for that purpose as described in a note at the bottom of the wiki page:
https://sourceforge.net/p/pgn4web/wiki/User_Notes_wordpress/
FAQ: how to use the plugin with PGN files?
The supported setup requires providing the PGN data within the [pgn] … [/pgn] tag as described above, however the plugin can also be used with PGN files; although not a supported feature, the following instructions might help:
– make sure a PGN file is available on the same server as the plugin; assume for example the PGN file is available as /games/games.pgn
– enter the following code in your post: [pgn eo=t pd=/games/live.pgn] [/pgn]
Keep in mind, unsupported features are not supported and might stop working in future releases of the plugin.