At the top of the import screen you can choose between Add or Copy. Copy is the normal option when working with a SD card. If you change the option to Add you might be able to import them into the catalog without moving them to the hard drive. But, generally speaking, trying to work with images on a SD is not recommended. I have never tried to do it. Try changing the option and see if you can do it. But what are you going to do when the card is full? I just don't think you are going to like trying to work this way. Personally, I think you would be better off getting a USB external hard drive. Yes, it's a little bulkier. But I think you will have a much better workflow.
I actually thought about that but the Add button is greyed out for the SD card... Is there any way to bypass this?
P/s: The SD card is where I store BoxSync so I can access file on cloud. Its capacity is very decent (256 GB) so I'm too concerned at the moment.
Lightroom needs to have the actual photos on a hard disk or network disk, and not on a removable and temporary disk like an SD card.
So the idea of keeping the photos on the SD card probably won't work with Lightroom.