There is no setting that would do this, no. The side bar can only show folders that you specifically open in it.
In addition, when a folder is added to the side bar, Sublime scans the entire folder structure beneath it and shows that to you as well (this powers the
Goto Anything functionality).
So while you can in theory get this power by adding the containing folder to the side bar via a plugin when a file opens, you have to be prepared for Sublime to gather every file and folder contained inside of that folder, which takes CPU and Memory that you may not be willing to give up. For example if you opened
C:\Sample.txt, Sublime would have to crawl your entire C: drive to show you every file and folder it contains, and keep all of that information in memory.