The current version of CultureObject does not support the import of images into the WordPress Media Library; this is however something that is on the roadmap for the future.
Most collections management systems use a local computer or server to store images, and these are referenced from within the data via filepath and filename.
For now therefore you have to figure out a way of referencing images by coding against your particular data source, figuring out a way of getting those images from your local data store to somewhere web-accessible using some kind of file sync, and then mapping if need be between local and web image paths.
The obvious places you could store the images include..
- Amazon S3 and then making the selected bucket publicly visible
- Your own web server
- …any other cheap or free file store that you can query from your website and sync to automatically