In the Finder, go to
~/Library/Mail/Mailboxes/. With that folder open, do
Edit > Select All (⌘A), then
Edit > Copy (⌘C), and paste it in your reply to this post to let me see the names of the files and folders it contains -- you may disguise any mailbox names you wish to keep private.
One of those folders should be the "a" folder under which all your custom mailboxes appear in Mail. Post also the contents of the "a" folder, as well as the contents of the "in.mbox" folder that should correspond to the folder that has the problem in Mail.
Note: For those not familiarized with the ~/ notation, it refers to the user's home folder, i.e. ~/Library is the Library folder within the user's home folder.