Someone else posted a question about this but the answer was not entirely correct.
https://discussions.apple.com/thread/2628011
Naming the path Inbox/new folder or inbox/new folder does not work. It will put the folder and it's subfolder in the lower section of mail and not under the inbox. To get this to work you have to capatilize INBOX
INBOX/newfolder
MacBook Pro TouchBar and Touch ID, macOS High Sierra (10.13.6)
Actually there seems to be a bug in this process. This use to work but in High Sierra (I'm using 10.13.6) this seems to be broke.
If you do what I state above then it will work for some time but if you quit and open mail you will either see the folders under your inbox or they will appear below where outside inbox folders are kept. It doesn't remain as a subfolder of inbox like it should. Even worse is the folders you create don't always remain. Sometimes they completely dissapear, or if you rename them, they will revert to their original name.
I'm using dreamhost.com if that matters.
I can't remember where I saw it but I believe creating sub-folders inside the Inbox is strongly discouraged.
This is supported by the fact that Apple Mail does not allow doing this without using the aforementioned workaround.
Create subfolder UNDER inbox in mail in High Sierra
