I'm afraid there is no feature for this. If you however would like to see this in Service Desk I would suggest adding a suggestion on our Enhancement Request portal
I personally like the option of adding commonly requested shares to the service catalog.
Then the find text box can allow the users to filter down to only folder access requests that contain part of the unc path.
Like Jenny said there's no way to link a drop down to the actual paths you have on a share. though you might be able to import paths into a category object. That way you can have a similar structured listing as sub folders in a parent folder.
I think these approaches may work as long as your folder structures don't change very often.