@sheno this is not possible. i guess the reason is that item is a separate doctype from item price…
on the other hand if you feel the creation for large number of items in the UI is unwieldy, you can try using the data import tool to make entry in excel and import it. This still requires import of items and item prices in two separate imports. But i guess when using data import tool you can have the advantage of verifying your excel file of item prices to have all items.
Also, when you create an item without a price and you make invoice of it for the first time the rates from that invoice item will create an item price entry in the selected price list. mentioning it here as this might help solve your issue.