I'm assuming you are using a kitchen to do so. If that's the case, you can create an OEM folder and have a XXXX-XXXXXX-....dsm in there and you can have a initflashfiles.txt in there and have its content as follow:
Directory("\Windows"): -Directory("SomeOtherDirToCreate")
NOTE: get rid of the white space between the : and the - because if I put it together it becomes this
With the example above, a directory named "SomeOtherDirToCreate" will be created inside of Windows folder on your device after you flash your ROM.
BTW, RGU files are strictly for registry only not for filesystems.