If the picture file is named like the audio file then you could create an action of the type
"Import cover from file" in which you enter as
Format string: d:\mycoverfolder\%_filename%.jpg
This would then import the covers for all the selected files where the filename of the audio file matches the filename of the picture file (except the extension).
I bet that this goes much quicker than drag&drop and the search method that you use.
Yet, if the filenames do not match, then nothing gets imported, so no harm done.
Just one footnote: I don't think that mpg files are supported by MP3tag.