Thanks for your help, loukash!
Using your suggestions, here's the outcome . . .
After opening an image with Photo, I dropped an image from Finder onto it. Like you said, it worked great . . . the dropped image showed up as a new layer.
However, when I try to drag&drop an image from Alien Skin Exposure, and new layer appears but there is nothing (except a gray and white checkerboard pattern) within the layer. This new layer is labeled in the layer-selection panel as "(selectedImages)".
Of course, it would be fantastic if I could just select multiple images within Exposure, use some kind of "edit as layers in Affinity Photo" command and (abracadabra!) there they would be, ready in Photo as multiple layers inside of one document. But it's really not the end of the world if I have to assemble multiple discrete images into a multi-layer composition.
So, that leaves me wondering if there's a more elegant way to combine multiple tabs into an image with multiple layers than copying and pasting. If there is a way to do this, I'd sure like to learn how. (Are macros able to create a new document by assembling images from the other open documents?)
At the end of the day, I'm attempting to do exposure blending. As I learn more about Photo I see it can be done by creating stacks. Though it would be ideal if I could feed my source images into Photo with Alien Skin Exposure, I now see that I can do it with Photo alone.
Thanks again, loukash. Here's wishing you bountiful good karma.