Hmm. Very good question. I think that the OS treats photos more-or-less like a camera does, and therefore just creates a generic folder (usually ..:\DCIM\100MEDIA) on SD card to store pictures. Downloaded photos are chucked into the X:\download folder with any other downloaded files (pdfs, apks, etc).
You might consider trying to create a folder from your PC on your SD card within ..:\DCIM\100MEDIA and see if your device picks it up. A similar process of creating folders has worked in terms of adding custom Notification, Alarm, and Ringtones. Good lucK!