The docs state that import of relational data from a file via the Data Studio is supported, but having trouble getting this to work:
Info note on this page: Import Export | Directus Docs
As far as I know, you can import CSV or JSON files — the only thing you need to do is match or map the columns to the fields of your collection.
Regarding relationships, since it’s SQL-based, you just need to match the ID of the related item in the relationship column. Directus then expands this into a full collection reference. But don’t be mistaken — only the ID is actually stored in the database. 