Create DiagnsoticData for External Locations as well.

src/Workspaces/Core/Portable/Diagnostics/Extensions.cs

@@ -3,6 +3,7 @@
 using System.Collections.Generic;
 using System.Collections.Immutable;
 using System.Globalization;
+using System.Linq;
 using System.Threading;
 using System.Threading.Tasks;
 using Microsoft.CodeAnalysis.CodeFixes;
@@ -57,6 +58,15 @@ public static DiagnosticData ToDiagnosticData(this Diagnostic diagnostic, Projec
                 return DiagnosticData.Create(project.GetDocument(diagnostic.Location.SourceTree), diagnostic);
             }
 
+            if (diagnostic.Location.Kind == LocationKind.ExternalFile)
+            {
+                var document = project.Documents.FirstOrDefault(d => d.FilePath == diagnostic.Location.GetLineSpan().Path);
+                if (document != null)
+                {
+                    return DiagnosticData.Create(document, diagnostic);
+                }
+            }
+
             return DiagnosticData.Create(project, diagnostic);
         }