With NetBeans, in the 'Project' window it's possible to access Include Path and Remote files in addition to Source Files.
ProjectName
Source Files
file
file
Include Path
file
file
Remote Files
file
file
So far with Sublime Text I've only managed to get the source files from one directory in the 'Folders' menu.
Is there an equivalent of Netbeans' 'Project' menu in Sublime Text that will show files associated with the source files but located in other directories?
Depending on the nature of your question and your use case, the answer to your question is either Yes or No.
In Sublime, the contents of Side Bar can only be files and folders. When folders are added to the side bar, the contents of the folders are gathered into an internal catalog and used to power various features of Sublime such as the Goto Anything functionality that allows you to quickly open a specific file to a specific location.
It's also important to note that the Side Bar is not a generic file browser; for every folder that's added to the side bar, a catalog of files contained in that folder is gathered.
Thus one thing you should not do is add a very large folder structure (for example / or C:\ depending on your OS) to the Side Bar; doing so causes Sublime to crawl the entire folder structure to locate every file, which can potentially cause it to exhaust all available memory.
With all that said, it's possible to have more than one folder open in the side bar at once by using Project > Add Folder to Project from the main menu. The folders will appear in the side bar in the order that you add them, but you can use drag and drop to re-order them in the folder list as well (though this is the only instance in which drag and drop works in the Side Bar).
It's also possible to alter the display name of a top level folder to something other than what it exists as on disk, though that requires that you use Project > Save Project As... followed by Project > Edit Project from the menu to alter the contents of the sublime-project file.
This is all to say that if you want to have multiple local folders open at once, that is entirely possible (and a common use case as well), though you have to know about and add such folders manually.
On the other hand if you want something that's not a file or a folder on your local hard drive (or a file share of some sort from a remote PC) to appear in the side bar, that is not possible.