Currently there is no way to add an image to a security question. This would be a nice feature to have because you can ask things like "What is in the following picture? <pic_here>"
I probably wouldn’t say this was a bug or issue.
Security questions don't allow HTML; it's not specific to images. I would like to bold certain key words (which of the following is NOT ...) or make some words different colors (Which word appears in red?). As is, I know the limitations and plan security questions accordingly.
Security questions could allow MyCode for instance. Why stay on a plateau if you can go beyond it?