You could use a program like tagscanner to edit the ID3 tags of the tracks to help.
Before you import the tracks into Rekordbox, edit the ID3 tag of each track to show the name of the playlist you would like in the comments section. Tagscanner lets you do this to multiple tracks at a time, so you can select all the tracks in your 'House - Classic' folder, and put 'House - Classic' in the comments part of the ID3 tag.
You can then import everything into Rekordbox, and list the whole collection alphabetically using the comments. They will then be shown in the groups, and you can easily select all the tracks with 'House - Classic' in the comments and add them to the relevant playlist.