Sorry, I do not understand what you are saying.
If you use FTP to create the folder, Zenphoto is not at all involved, just your FTP client and server file system. So if the folder names are not right there, you will need to investigate the issue with your service provider. Zenphoto does not change folder names. So if they are in Hebrew, they would stay that way.
Zenphoto does make titles "SEO friendly" from the folder name. This is done by a plugin named filter_zenphoto_seo. If your problem is that the hebrew characters of the folder names are not being change in the title then most likely they are not "listed" in the translation set of this plugin. In that case, the plugin would need to be extended to handle them.
If you wish to extend it for Hebrew (assuming that is the issue) we can try to incorporate your changes into the released produce. Alternatively you could have a separate plugin that does correctly handle these characters for you.
to add a hebrew support.you have insert in filter-zenphoto_seo.php these lines
"×"=>"A",
"ב"=>"B",
"×’"=>"G",
"ד"=>"D",
"×”"=>"Ha",
"ו"=>"V",
"×–"=>"Z",
"×—"=>"H",
"ט"=>"T",
"×™"=>"I",
"×›"=>"K",
"ך"=>"H",
"ל"=>"L",
"מ"=>"M",
"×"=>"M",
"× "=>"N",
"ן"=>"N",
"ס"=>"S",
"פ"=>"P",
"×£"=>"F",
"×§"=>"K",
"ר"=>"R",
"ש"=>"SH",
"×¢"=>"O",
"צ"=>"TZ",
"×¥"=>"TZ",