There isn’t a way to handle this automatically by default. You could potentially do some custom dev to have events coming from specific pages assigned to a particular category.
However, the simplest way would be to create the needed categories within the Event Categories taxonomy and manually assign the categories to the events after import.
Definitely sounds like it could be a useful feature. If you would like, you can add the idea to our UserVoice page for others to vote on and for our developers to consider for inclusion in a future release.