I wouldn't be surprised if this wasn't supported. You could link to a folder in your photo album which IS linked to Sky Drive. Have you figured out a solution yet?
I have some pictures with public access on my SkyDrive account and want to use them on some web pages I've been creating. I've been able to test the 'embedding' way but when try to use the image web address as the source for my web page image it's not loaded.