With the WebDAV plugin a folder represents either a space (top level folder) or a page (everything else). When it represents a page you will see a file within the folder with the same name as the folder ... {foldername}.txt. This has the contents for the page. Any other files in that folder are page attachments. Any folders within a folder are child pages and the same explanation applies to those folders as well.
It sound like you are wondering about attaching files to a page in a hierarchy and that is not possible. The only way to do something like that would be to zip the folder structure first and then upload the zip file.
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