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$NewMessage is a global variable which, if set, is applied to the symbol name and tag of messages that are requested but have not yet been defined.
$NewMessage is applied to the symbol name, tag and language of a message if an explicit language is specified.
Mathematica looks for the value of name
tag or name
lang after $NewMessage has been applied.
You can set up $NewMessage to read the text of messages from files when they are first needed.
A typical value for $NewMessage might be Function[ToExpression[FindList[
See the Mathematica book: Section 2.8.21.
See also: $NewSymbol.