In your Excel Import template, you will find Reference handling on the Reference tab. On this tab, you can specify the behavior for all reference columns that are defined on the previous tab, Columns. One of the options is to Find Reference, Create If Not Found, which is seems like option you should use.
FYI, the best practice I use for Excel import is to import your spreadsheet as is into an entity that has all of the columns in your spreadsheet and create a new object for each row. Then once the spreadsheet data is in Mendix, process it using a microflow to create new objects, references, etc. This method enables you to have more visibility into what happens during processing, errors that might occur, etc.