On Linux.
So what you're doing, as I understand it, is setting Audacity to record every sound the computer makes, then playing the drums in Hydrogen while recording. Right? That's a pretty good solution.
I think your problem stems from a misunderstanding about what "import raw data" does. That would be basically just a list of numbers (each of which is an amplitude) without even the header information like sample rate that's included in most audio formats, like .wav. That's why you get a dialog to enter that information after you select a file to open. It could be useful if you have audio in a format with strange headers and would like to just skip them and tell Audacity how the file is structured.
Hydrogen doesn't use this format, as far as I know. Its song files are a description of which samples to play at what time. They're actually XML files, if you're familiar with those. Human-readable text, which you could write by hand if you really wanted to. If you import them as raw audio it's pretty much the same as importing this post would be. The drum sounds themselves are stored as flac files, which is like a zip file specialized for audio. It's a lossless form of compression, so it sounds like the source, but is smaller.
If you want to make a beat in hydrogen then open it in Audacity without playing and recording it you should be able to export a wav file in Hydrogen then import it into Audacity.