I know about Workspaces recently introduced in DevTools but that is not that i need. For example: page uses jquery that is loaded from CDN, i modify jquery library code, pre
You got most of it, but here's the slight change:
Make a change in the Styles pane (or in Sources), then click over to Sources, and when your modified file is open, hit ctrl-s.
Then you can right-click the asset in the Sources list and hit Save As... and save the new modified file to disk.

There is no way to save a modified remote file without persisting it to disk and expect it to be changed on reload.