WELCOME to iClone. 

In theory, you could do this in iClone with a series of "Image Layers" and keyframe their opacity, but frankly that's a bad solution.  First you'd have to make them in a imaging application that creates an alpha (transparent) layer.  For one or two, maybe, but I wouldn't want to do it for much more than that, and it would probably kill your iClone project eventually.

A superior, and easier, solution is to do this in a video editor.  You could do it in YouTube, too, but I'd recommend the video editor.  I've done it, and it's not that hard.  A bit tedious at times, depending on the length of the video, but not complicated.