If you’re looking to use existing assets, stored as Photoshop files, into your active Adobe XD projects, you don’t need to open the Photoshop documents as new XD documents, instead, you can import them directly into your existing file.
To do this, navigate to the File menu, and select Import…. From here, select the Photoshop file you wish to import into the project, and XD will convert the groups and layers, but rather than open them in a new file, will create a new artboard in the active document, allowing you to integrate images and graphics directly into your work in Adobe XD.