Recursively browsing folders is available since v3.0, at a time where mGalaxy was a MAME frontend only.
Folder’s list is now recursive. You can organize your roms/musics into subfolders…those folders will be browsed by mGalaxy (Attention: roms into subfolders will be seen by mGalaxy, but you will have to adapt your ‘mame.ini’ file to let it read into those folders)
As you can read, you'd have to adapt the mame.ini file with the 'alternatives' rom locations to benefit from this functionality.
Unfortunately, what is made possible by MAME might not be made possible by other emu...and it seems to be the case here?!
Effectively, the folders will be browse recursively (a folder containing another folder is inspected)...and every rom's name found is added to the list (so a screenshot named the same way in the "screenshot folder" will be displayed!) BUT it stops there! mGalaxy has not recorded a specific location for a rom inside another folder than the original one.