Yes. To achieve this select the folder from "Files and Folders" page, press F8 key (go to its component) and select "Do not register this component with Windows Installer". You could repeat this process for all the files contained by the folder that you don't want to be removed during the uninstall.
It is also possible to include the components associated with all this files and the one of the folder in a new feature and select "Mark components in this feature as "Do not register with Windows Installer".
Please let me know if you have any oher questions.