Import Raw and JPEG into Lightroom

I'm trying to import both the Raw and Jpeg into Lightroom but when I select a file and then "Run program - Adobe Lightroom Classic" only the raw is selected for import.
I have "Handle Raw and JPEG together" selected in preferences. If I untick this then both the Jpeg and Raw are both displayed but it means I have to double up and select both the JPEG and Raw.
Anyway to import both?
 

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