Roxygen can be used anywhere within an R file (in other words, it doesn't have to be followed by a function). It can also be used to document any docType in the R documentation.
So you can just document your data in a separate block (something like this):
#' This is data to be included in my package
#'
#' @name data-name
#' @docType data
#' @author My Name email{blahblah@@roxygen.org}
#' @references url{data_blah.com}
#' @keywords data
NULL
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