During import, how to show validation messages if wrong data has been provided for a lookup field ?

We are importing sales orders through csv files. In the file, we have fields for 'Customer number' and 'Address Name'. When we provide a customer number and then an address name that does not belong to the customer, we should ideally get an error message, but in the current COTS framework, the record gets imported and no validation messages are shown. 'Address name' is the lookup field in this case. Please let us know how we can achieve the desired validation.
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