I don't have a definitive answer to your question because I'm not as familiar with the XR CLI. However, I can give you some insight into how EEM works and perhaps that will help you answer your own question.
EEM doesn't have any deep API access to the device. All it does is automate CLI (and SNMP) in a very similar manner to how you would do it manually. So, if there is a command you can run manually on your router, then EEM can automate it.
So, can you manually insert into a prefix-set using the CLI? If so, what is the exact CLI syntax, and I can help you programmatically build it with Tcl.