You can import uncompressed audio and compressed audio in several formats.
Procedure
Result
In the Project window, an event referencing the audio file is inserted into the selected track at the project cursor position. If no track was selected, a new track is created.
A new audio clip is created and added to the Pool.
If you chose a compressed audio file other than FLAC, Cubase copies the original compressed file and converts it to wave format (Windows) or AIFF format (macOS).
Note
The resulting Wave/AIFF file is significantly larger than the original compressed file.
The imported file is placed in the Audio folder of the project.