Well, it is possible in "desktop" versions of ScummVM by holding down the Shift key, which changes "Add game" to "Mass add". I don't know if it's possible to keep the Shift key pressed in the iPhone port (don't think it is), but in any case, the "Mass add" feature takes up a lot of memory which I don't think that a portable device can handle (but then again, I could be wrong).
Mass add takes up a lot of memory? That's kind of new to me (and I wrote it . Anyway, the iPhone should have easily enough memory to deal with that; it's mostly a question of how to access the function.
All in all, the current situation is not quite ideal -- Mass Add is kind of "hidden" and many people (namely those who never read docs, shame on you! *g*) only discover it by chance. Maybe we should implement access to it differently, but that's just a pipe dream right now.
The checkbox was a suggestion, it's not in ScummVM. And I've just tried it, if you hold down shift while being in the main ScummVM menu changes the "Add game..." button to "Mass add"