In regards priority do you mean that you want them to load in a certain order?
If so you can hook into the return function to trigger the next load.
eg.
gltf.load( 'model1.glb' , (object) => {
scene.add( object.scene );
gltf.load( 'model2.glb' , (object) => {
scene.add( object.scene );
});
});
You can then abstract that out to a function which loads from a list.
eg.
let loadThese = ['object1.glb','object2.glb'];
const loadNextObject = () => {
const loadThis = loadThese.pop();
gltf.load( loadThis , (object) => {
scene.add( object );
if( loadThese.length > 0 ) loadNextObject();
});
}