You still need to first Download the data yourself before importing it.
For weather underground there are some APIs but they're extremely limited and you need to have a station there to use them.
Plus, if I remember correctly, you can only download a limited history of your own station.
there are some unofficial and unsupported ways of getting the data by parsing the html tables created when looking at.the daily history for a station, but that's far from ideal.
Also it depends on how long your period is