A number of business areas I work with use a folder structure to organise their Sharepoint housed documents (not ideal I know, but we\'re stuck with it).
I don't know of any out-of-the-box way to achieve this. As you say, this is not how SharePoint lists are intended used.
It might work to create a custom site column displaying the path to the document, as this might be used in a filter. Have never tried it, though.