It's on our list but is not trivial to implement (it requires saving all the clipboard formats [there can be dozens] on the clipboard to a cache, and then processing sequentially from the cache).
One workaround for now:
In UR, use File | Import -> Files, Next, then copy/paste each URL to the Files to import field (one per line) to import multiple URLs in a batch.
Multiple copy/paste can be simplified by using a clipboard extender that can copy multiple and quickly paste back each one. Some popular ones:
http://www.clipmate.com/
http://www.cybermatrix.com/clipmag.html
http://www.x2net.com/smartboard/
http://www.clipmagic.com/