You can already do this. Try using Ctrl-O for open instead of Ctrl-N for new. Then if you type folder/new note, it will put a new note with that name in that folder automatically.
If the folder doesn’t exist, the folder gets created too.
Except… I seem to have found a bug, but don’t know how to recreate it yet. If I type more than one folder, folderA/folderB/New Note I can’t see folderB or New Note in the file explorer. But I’m testing this on iPad, so I can’t easily inspect the filesystem at the moment. The subfolder exists in my iPad Files app, but doesn’t show up in Obsidian.