I’m migrating a blog which had that structure. It seems I’ll have to abandon it and use 301 redirects to avoid breaking links.
You can create folder structures (and associated URLs) with static pages, but not with CMS templates.
In this scenario I tend to create wildcard redirects for entire folders, then submit temporary removal requests to Google via Google Search Console (and same for Bing)) for the old folder URLs to clear Google & Bing cache and prevent indexing for at least 6 months while indexing builds with the new URLs.
This is tolerable but not ideal. It would be useful for Webflow to support more complex folder arrangements… maybe allow a CMS item to “declare” an official URL/path.