OK. Figured it out.
1. What I want to do is NOT possible. The reason is simple — WP doe snot read directories, instead it uses information from database. Each image is a “media object” in database. So, it is not possible to just add custom directories with images.
2. Suggestion made by @catacaustic is good, but it will only work if one wants to upload images, not to use existing ones.
3. There are plugins to make life easier. In particular there is a media import plugin that allows selecting image from existing directory and import it into media library in WP.
While plugin does what I want to do, it is a manual operation. I will see if I can get it to easily import all images from a directory. (perhaps from command line)
RUdolf