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While we're unable to import budget by class in QuickBooks Online Advanced, you won't be able to include a column that will indicate the class. When you upload the class one at a time to populate one budget file in QBO, the system won't be capable of reading the file and determining its path.
In the meantime, I recommend sending feedback using your QBO account. This way, our Product Developers will know that this is crucial to your business and may add this feature in future updates.
On the other hand, here's how to use a template and import a budget:
For more information about moving your budgets and managing them in the system, you can reference this article: Create and import budgets in QuickBooks Online Advanced.
Feel free to let us know if you have additional questions about importing budgets. I'm always willing to assist you here. Enjoy your day.