It is possible if you don't mind modifying the source code, otherwise, it is not supported currently and honestly it isn't high on my personal priority list of labscript things to work on ATM.
Should you be interested in tackling the task yourself, though, a Pull Request would be very welcome! The changes required appear to be fairly minimal (no promises though, Qt can be tricky at times). The function that needs to be changed is
here. Basically, instead of calling QFileDialog.getOpenFileName we would need to call
QFileDialog.getOpenFileNames. The remaining function would then need some minor modifications to loop over the list of returned file names and load them one by one.