What would be a way to create a directory or better yet - an entire directory structure from within Shotgun.
The idea behind is that after a new shot entity (such as Shot_001_ABC) is created (in Shotgun) the user could right-click on a shot name in a Shotgun Shot listing to access some custom menu item (in a right-click menu) select and execute a Create Shot Folder command.
As a result the local file folder is created with the same name as the shot name: Shot_001_ABC.
The file path to this folder would be associated with the current project.
For example, if the shot Shot_001_ABC is under My_Favorite_Project project then the Shot_001_ABC would be places on a local hard drive in a such fashion: