When you import photos, they go to an Event. Each photo can reside in only one event; events are simply containers that iPhoto creates based on the date of the photo to help make some organizational sense. For example, on Saturday you went to a wedding and took a bunch of photos. The next day you went to the park and took some photos. When iPhoto imports all those photos, it could split them up into two events, which you could then name "Wedding" and "Park".
Albums are created by you. A photo can belong to more than one album, just like a song in iTunes can belong to more than one playlist.
To answer your question, though, I'm not aware of any way to import photos directly into an album.