There is a solution to this. This is how I made this work...
1. Create Lookup fields in your tables
When I created my tables I added a Lookup field to the foreign table. So, Table A has a reference to Table B. I created a lookup between the two tables.
2. During Import, store the PK value from foreign table in Lookup Field
When you are creating your dataflows store the PK from the foreign table into the Lookup field you created. When you do this, Dataverse will convert the entry into a Lookup to the foreign table. So, in my case I stored the PK from Table B into the Lookup field I created in Table A and Dataverse created the relationship.
Relationships created in this way do not show up under "Related" for a table, but I am still working on how to do that. It may or may not be possible, we shall see.
Thank you to all who tried to help. I hope this helps others.