Hi Juan,
besides using the CSV import we suggested on this thread:
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you can take a look at how the component works and that you use JEvents methods and objects inside your function to programatically create your events.
We do not provide an external API to create events so right now the only way of easily importing events in JEvents is using icalendar or CSV import features.
JEvents is developed to be a powerful event management solution that can suit end users needs and can also be easily extended by developers that need an event (in a calendar sense) management system. We usually extend JEvents features based on users request and market trens and the importing features have worked so far, although I understand your concerns about performance.
My only advice would be storing the events in a DB and group them to minimize the performance impact.