I have ArcGIS Pro 1.31 and I found on ESRI website that the "import from E00" tool is no longer available in ArcGIS Pro.
So what's the solution if you want to work with interchange files?
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There are no conversion tools in ArcGIS Pro to convert coverages. However, if you have ArcGIS Pro, you should have ArcMap. You can convert them there to a featureclass and use that inside ArcGIS Pro.
There is a little more information about this here - https://geonet.esri.com/thread/177435