For now, there is no possibility of for us to implement this in myBalsamiq as this hits a Flash Player limitation.
I definitely agree on this would be a very useful feature, I added your comment in our internal tracker so we can further discuss it internally.
For now, the way to import images in myBalsamiq requires that you first import it as a site asset or project asset: http://support.balsamiq.com/customer/portal/articles/112403
On a side note, we are working hard on going native, which should help with such limitations. We hope to have more news on this on this soon.