Is it possible to import episode names from filenames for shows that are not in Plex's known media database?

If your files are in the mp4/m4v format, you can embed the episode titles directly into them as embedded metadata.

This will never work in Plex.
You must absolutely follow the prescribed filenaming schema (and also the necessary folder structure) or you will always get mismatches etc.
https://support.plex.tv/articles/200220687-naming-series-season-based-tv-shows/

  1. Look up your show on TheTVDB
  2. Take the title as it is used on TheTVDB. If there is something in parentheses, take that too. If the title contains invalid characters (depends on your file system), like § : % *, simply leave them out.
  3. Check the naming and the folder structure of your show. Name the top folder of the show exactly after the title on TheTVDB. No abbreviations. No additional subfolders. No aliases. Add the (year) in parentheses of when episode 1 of season 1 of this show was aired.
  4. Name the episode files according to the above linked naming guide. Use the same title as for the top folder. Show's Title (year) - s01e01 - additional info.ext (‘- additional info’ can be left out)
  5. After you corrected the naming and folder structure, perform the Plex Dance with all files for this show.