Is it possible to import a 2D sprite from Paint.net?
Yes, once you have imported it into Unity select/highlight it in the “Project” window. Now you will see its import settings in the “Inspector” window. Change the “Texture Type” to “Sprite (2D/uGUI)”.
You can setup Paint.net as your external “Image Application” via the top menu :
Edit → Preferences → “External Tools”
Select it in the “Image Application” box. This will mean that it will auto open Paint.net and load your image into it when you double click on the image in the Unity Project window.