It's because NCBI blast has been integrated with the Entrez database. Most sequences here have a unique number called gi linking to an unique record in the NCBI-Entrez Database.

When you're running your local BLAST, the engine doesn't know anything about the database that was created with formatdb, there is no meta-information.

In the case of swissprot, I guess the URL can be easily created from the FASTA header of each sequence because it should contain an accession number. e.g. the URL for Q04637 is http://www.uniprot.org/uniprot/Q04637

First you have to format your database following is the command for formatting

formatdb -i swissprot -p T -o T

Then you can perform blast

blastall -p megablast - d swissprot -i (here input your filename with extension) -o result.txt

this time it will create your result in result.txt file in bin folder.

Hope this will help you.