Importing assets is a design time feature that is currently only available in the Editor, which handles such operations through import factories. If you wanted to make this functionality available at runtime, you would have to include it in your game code, but that is currently against the EULA, which does not permit the inclusion of Developer and Editor modules in games.
If you’re curious, the FBX related factories are in FbxFactory.cpp, and the actual import code is declared in FbxImporter.h
Despite the fact that you cannot legally use this code in your game, also keep in mind that it possibly wouldn’t work as intended anyway. When the Editor packages a game, the content residing in your asset packages is transformed into a representation optimized for runtime performance. We call this process Content Cooking.
If you just want to import FBX files into memory at runtime and use them inside the game, your best bet would be to look at the existing importer code and implement your custom solution based on that. As far as I know, we currently have no plans for supporting importing (or exporting) game content at runtime.