No, I'm pretty sure the import has to be done via desktop.
The import suggests it can accept *.md, *.markdown and *.txt files, anything else seems to get ignored.

To be clear, if you imported files as per the below folder structure:
/Notebook1/SubNotebook1/Note1.md....Note3.md
/Notebook1/SubNotebook2/Note4.md....Note6.md
/Notebook2/Note7.md

Then you will end up with:

  • Notebook1
    • SubNotebook1
      • Note1
      • Note2
      • Note3
    • SubNotebook2
      • Note4
      • Note5
      • Note6
  • Notebook2
    • Note7
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