Based on Hartshorne's hints, I believe what he means is (a variation on) the category-theoretic notion of "finitely presentable":
A finitely presentable object in a category $\mathcal{C}$ is an object $A$ such that the functor $\mathrm{Hom}(A, -) : \mathcal{C} \to \mathbf{Set}$ preserves directed/filtered colimits.
Let us take $\mathcal{C}$ to be the category of (abelian) sheaves on a noetherian topological space $X$. Then $\mathrm{Hom}(\mathbb{Z}_U, -)$ is isomorphic (as a functor) to $\Gamma (U, -)$. But the property of being noetherian is hereditary, so we may use [Chapter II, Exercise 1.11] to deduce that $\Gamma (U, -)$ preserves directed colimits. Thus $\mathbb{Z}_U$ is indeed finitely presentable.
That said, Hartshorne speaks of subsheaves of $\mathbb{Z}_U$ as well. It is not at all clear to me that these are finitely presentable. Nor is it clear to me that a sheaf with the extension property with respect to all subsheaves $\mathscr{R} \subseteq \mathbb{Z}_U$ and all open subsets $U \subseteq X$ is necessarily injective. Certainly what is true is this: if $\mathcal{I}$ is a collection of monomorphisms such that every monomorphism in $\mathcal{C}$ can be obtained as a retract of some $\mathcal{I}$-cell complex (= a transfinite composition of pushouts of $\mathcal{I}$), then an injective object in $\mathcal{C}$ is the same thing as an object with the extension property with respect to $\mathcal{I}$; and if $\mathcal{I}$ consists of morphisms whose domain and codomain are finitely presentable, then the class of $\mathcal{I}$-injective objects is closed under directed/filtered colimits.