Organize photos from iPhone's Shuffle feature into a folder

Did the work-around posted by wheelynick not work? [NAME] photos as favorites from Shuffle o… - Apple Community

Unfortunately. there is no directly supported way to access your photos from the lock screen, neither on a Mac nor on the iPhone. Quite a few users have requested to be able to go directly from the photo shown on the lock screen to the library to be able to look up details, to see, when and where it has been taken, but it is currently not possible.

How are you shuffeling? Are you asking about shuffling a slideshow in Photos or shuffeling photos shown on the Lock screen?

And what kind of folder? A folder in the Files.app or a folder in Photos?

In the Photos.app the folders can only hold albums or subfolders, but not the media, like photos and videos. To organize photos, add them to an album and group you albums by creating the albums inside folders.

Yes, it is a pity. You may want to send feedback to Apple. Perhaps Apple will listen one day. The feedback page is here: Feedback - Photos - Apple