[Feature Request] Add support for embedded databases

[acherunilam]

Can't we use an embedded database like RocksDB or SQLite to store the data? The latter might be more lightweight but the former allows for concurrent access, so I prefer RocksDB. There are a bunch more available options, it's your call.

This reduces dependencies, so there'll be less friction to adopting gShort 'cause we don't have to bother bringing up an external MongoDB instance. Thoughts?