You could always use playlist files (.m3u or whatever) instead of directories.

That's a good point, and while I won't say it isn't doable, it does increase the complexity of the system quite a bit. Would you upload all the files to their initial proper locations and then add .m3u files? That'd mean that you'd have to manually create files with the correct references, which could easily be different than the references on the initial filesystem. It'd probably be easier for the manufacturer to provide a playlist creator app. And what would happen when you moved the original file? I guess that the player would have already abstracted it out to change those initial uploads to putting the data in a filestore and creating playlists based on where it was "uploaded" to. Maybe it could detect the upload of a duplicate file and create a playlist entry based on that. But I don't know if it would be possible for a mass-storage device to do a non-error abort of a file transfer, which would be the best way to do that, so as to not have to upload an entire file that's going to get thrown away and replaced with a link.

I don't know what actually happens at the structure level when you mount a FAT filesystem under Unix and make a symlink on it

It doesn't let you do it at all:

ln: creating symbolic link `test.link' to `system.1st': Operation not permitted

at least under Linux.