Tente isso em vez disso:
INSERT TestInsert
SELECT 1, 'a'
UNION ALL
SELECT 2, 'b'
UNION ALL
SELECT 3, 'c'
UNION ALL
SELECT 4, 'd'
UNION ALL
SELECT 5, 'e'
INSERT TestInsert
SELECT 1, 'a'
UNION ALL
SELECT 2, 'b'
UNION ALL
SELECT 3, 'c'
UNION ALL
SELECT 4, 'd'
UNION ALL
SELECT 5, 'e'