If you are using the cloud instance of JIRA, there is no way to effectively add new priority icons to your instance. You need to either use the ones provided by JIRA or you need to reference externally hosted icons. This repo is to provide a stable host for these icons
Atlassian provides a good reference on how to add custom priority icons.
https://confluence.atlassian.com/jirakb/how-to-upload-custom-priority-icons-in-jira-788961156.html
Upload your custom icon as an attachment to any Jira Issue and right click on the image and copy the image URL.
- Click Jira Settings > Issues > Priorities
- Click the 'Edit' link next to the desired priority.
- Paste the copied URL into the Icon URL field.
- Click the Update button.
New JIRA Prioirty icons: