Links to non-vignette documentation

What about using the latex package pdfpages to copy the pages from your 
PDF file `interface96.pdf` to your Sweave file. (I don't know if it is 
compatible with Sweave).

Not tested :

\documentclass[a4paper]{article}
%\VignetteIndexEntry{Interface '96 paper by Marron et al. (1997)}
%\VignettePackage{clps}

\usepackage{hyperref}
\usepackage{natbib}
\usepackage{pdfpages}

\title{Interface '96 paper by \cite{mar:tur:wan:96}}
\author{Berwin A Turlach}
\date{September 25, 2004}

\begin{document}
\maketitle

\newpage

\includepdf{interface96.pdf}


\bibliographystyle{dcunsp}
\bibliography{clps}

\end{document}

That's a nice hack.  You probably want the "fitpaper" option on the 
\includepdf command, so that you don't get an extra border around the 
page.  For example, this file test.Rnw

\documentclass{article}
%\VignetteIndexEntry{test include of pdf}
%\VignettePackage{ellipse}

\usepackage{pdfpages}

\begin{document}

\includepdf[fitpaper=true]{response.pdf}

\end{document}

produces an output that looks pretty much exactly like the 
"response.pdf" file I used as test input in a viewer.

The only disadvantages I see are that both the test.pdf and response.pdf 
files got built into the package (but only test.pdf shows up in the 
index), and that test.pdf is a lot larger than response.pdf.  (This may 
be because response.pdf was small; I haven't checked if the increase is 
additive or multiplicative).

For a non-hack solution:

A change to the R package build process would be to add support for a 
command like

%\VignetteExists

to the test.Rnw file, telling R not to bother trying to build the pdf, 
because it had already been built by other means.  Then I'd just have 
test.Rnw containing

%\VignetteIndexEntry{test include of pdf}
%\VignettePackage{ellipse}
%\VignetteExists

and solve both of the problems with Romain's workaround.

Duncan Murdoch