There isn't currently a way to import a Sketch file directly to Axure RP, but I'll be happy to file this as a feature request to our designated teams on your behalf. Currently, this Sketch to Axure plugin is the closest to integrating files between the two tools, but this does require that you have both Sketch and Axure RP installed on your computer.
The best solution I'm able to think of right now is for your colleague to export his Sketch artboards to SVGs, and then send you those SVG files, since Axure RP allows for direct import of SVGs. After importing the SVGs into Axure RP, you can right-click on the SVG and select "Convert SVG to Shapes":
This will allow you to work with the Sketch assets as editable shapes in Axure RP, similar to the plugin, but unfortunately, not as streamlined.
Hopefully this helps a bit!