Put simply, don’t import images to the featured images in the normal way. Instead, import the image URL(s) to a custom meta field name external_image_url.
You can import one or many external image URLs to this field. If you import multiple image URLs, the External Images plugin will use the first image as the featured image, and the other images will be placed in the gallery on the single post or product detail pages.
Example with WP All Import
When creating a new import or editing an existing import with WP All Import, locate the Custom Fields section and add a new field called external_image_url. Drag your comma-separated image URLs to this field.