No direct solution in the cx-5 however you can create playlists (m3u) one for each "folder", this is what I did.
Yes, playlists work for USB drives though not for my 5th Gen iPod.
I am experimenting with the following idea. I create playlists named A5, A15, A30 thru Z5, Z15, Z30. The number indicates the number of songs in the playlist. So A5 has 5 songs and P15 has 15 songs. Thus there are 26 playlists with 5 songs, 15 songs, and 30 songs for a total of 78 playlists and 1300 songs. I have 1354 songs so I put the last 54 in a playlist named Long.
The songs are randomly distributed like a shuffle with every song in one and only one playlist. I am working on a C program to read the USB drive and generate the playlists automatically.
Now it would seem that to scroll through 79 playlists would be a pain. But enter Voice Recognition which works pretty damn well. Once my USB drive has been read and starts to play music, I push the talk button on the steering wheel which pauses playback and say "playlist C10" and it plays C10. Sometimes it gets it right and is certain and simply plays it. Other times it is uncertain and asks "play C10?" and I say yes. If I say no, it asks "play Z10?" The first guess is usually correct. I have also discovered that the VR does not work as soon as the music starts playing after the USB drive has been read. It takes a bit longer for the system to process the data for VR but only about 30 more seconds in my case.
For CDs, the VR command "Play track 7" works but unfortunately not for USB playlists. If it did, I would probably use a single shuffled playlist of all my songs and just use such a command to start at some random song. But without a "Play track N" command, there is no easy way to start at song 875 or any other random place.
So if I am going to the store, a short drive, I might play A5 to the store and B5 back. Next short drive C5 and D5. Of course I can also choose a longer playlist even for a short drive and long ones for long drives.
It is a work in progress but so far so good. Just thought I would offer the idea up for others to consider.
BTW, it also works to say things like "play artist cranberries" or "play album joshua tree". In these cases it puts all the songs you have by the cranberries or all the songs on joshua tree (assuming you have those on the USB drive of course) into a playlist naned VR_playlist.
Although in the owner's manual, Voice Recognition is mostly associated with bluetooth, you do not need any bluetooth paired device to do the above.