The Event module uses a Calendar web control (that was a donation from a company to the module/DNN at some time in history): DNNCalendar, written in C#.
This control has an attribute NextPrevformat with a setting: "FullMonth", "ShortMonth" or "CustomText", thus all text links. The setting in the month calendar is "FullMonth" (see EventMonth.ascx), and there displays the name of the month.
In short: no option for an imagelink...