One idea would be to loop over the list of filenames in FileNames[All, dir] and use one of the following to write into the notebook:

CellPrint[ExpressionCell[Import[filename], "Input"]]

NotebookWrite[EvaluationNotebook[], 
 Cell[BoxData[Import[filename] // MakeBoxes[#, StandardForm] &], "Input"]]

And it does not have to be in "Input" style, but that's what the menu command does.

One could also use

CopyToClipboard[DocumentNotebook[listOfImageCells]]

where listOfImageCells is computed from looping through filenames and has the form

{ExpressionCell[img1, "Input"], ExpressionCell[img2, "Input"],…}

After copy, then paste. It should paste each cell separately if the insertion point is between cells. Maybe beware the total size of the images.