Hey @DiliupG!
Of course you can have Game Mode nested in folders under Content! 
Just a note, when you wanna reorganize your assets in the future, while you absolutely can without encountering any issues, certain things might occasionally go wrong. Even tho these issues are totally reversible, Iād still recommend planning the folder structure beforehand.
(Was a general advice tho, not necessarily related with the topic. I personally only encountered such issues while reorganizing textures, for example.)
Hope this helps! 