It is possible to create a configuration for each game, and put screenshots in a special directory to have then matched with the configurations.
But I strongly recommend using FS-UAE Launcher together with the Open Amiga Game Database instead. Then you’ll automatically get game entries with screenshots and covers 
See http://oagd.net/fs-uae-launcher for a step-by-step guide on how to enable this.
(Some games from the GameBase disk set is not regognized yet, but this is worked on 
)