It is not possible to paste a local file (like an image) directly to a website located on the server. This issue has nothing to do with CKEditor, but is related to the security model of the Internet browsers.
If you want to add images to your document, you need to upload them to a server first. You can either upload them to a server manually and then insert them using the Insert Image feature, giving the URL of the image, or integrate CKEditor with a file browser/uploader like CKFinder and use it to upload the image from your local computer to the server inside the CKEditor interface.