if(r_can_connect_to_internet())
{
  download_some_data(my_url)
} else
{
  warning("R cannot connect to the internet")
  get_local_data()
}

r_can_connect_to_internet <- function(test_url = "http://cran.r-project.org")
{
  res <- try(readLines(test_url, n = 1), silent = TRUE)
  !inherits(res, "try-error")
}