Can you give us a copy of the code you are using, as in native mode the code should work 100% the same way.
There is a slightly better way of doing it with libraries of course:
STORE TableName INTO 'lib://LibraryName/TableName.qvd';
So the only difference is the library name instead of the relative path to the QVD.
Agree with Onno - this should be straight forward with a change to the file location parameter of the STORE command.
For the full syntax for Qlik Sense refer to the online help:
First you need to create a new connection(for the folder) where the qvds need to be stored.
Once you create the connection string, you need to point to that folder using lib.
Load * inline [
Store Test into [lib://CreateQVD/Test.qvd(qvd)];
"CreateQVD" is the connection folder I have created.