You likely have to use the workflow people currently call "Mix and Match".
There's a sample scene that comes with the unitypackage that shows how it's used, including for SkeletonGraphic.
There's also this work-in-progress doc: https://github.com/pharan/spine-unity-docs/blob/master/Mix-and-Match.md
If anything is wrong or unclear about it, let us know. We would love for the workflow and that documentation to be clearer for everyone.
Basically, you have to deal with the Skeleton, slots and attachments directly. Use UnityEngine Sprites if you have to, but we have we to work around the limitations of Unity's components to get the benefits of Spine's features.
You can't insert images between parts of another image. This applies to all UI stuff, not just Spine.
In general, using BoneFollowerGraphic is not a good solution for character customization.
Note that this is also 2D sorting. It doesn't obey z-distance sorting within the same mesh. This is also true for 2D stuff in general, especially since the components like SkeletonGraphic and SkeletonAnimation (and ultimately, the base components they use) generate a single UnityEngine mesh and not multiple ones.