I've never heard of anyone doing this off hand. I've also never tried it.
There's only two things I can think of. First is simply WP won't do it. Reason being as it's simply not setup for it.
Second would be the links are not correct to work on WP properly. Are there images on the other HTML files? Do you have the other files in folders?
I know HTML fairly well but I'm unsure how WP would handle this situation.