As it was already said, Fuji does not offer that kind of file management.
But there is a workaround that I do sometimes. It is cumbersome and requires a couple of minutes, but it works. Take out the SD-card, put it into any kind of SD-card reader and open it in any device you have. In my case, I have a wifi cardreader (search for Ravpower 5-in-1) and I log into that wifi network with my smartphone or tablet. Then rename the current folder to whatever you want. When you continue using that SD-card, your Fuji will create a new folder and put all new pictures into in. So when you travel from City A to City B, take your time (about 2 minutes I guess...).