Well, I searched through TWRP everywhere and I couldn't find a setting for it. Oh well. I'll live. Not a huge deal.
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The theme has a bookmark feature.
Stock TWRP behavior is to start at /sdcard and afterwards remember the last used folder.
With the bookmark feature activated (found in theme settings), the default folder is set to /sdcard/download (my personal preference) and twrp will always start in this folder. But you can change the default folder:
With bookmarks activated, you see an additional icon on the app bar in file lists. The bookmark icon is either "filled" (which indicates the current folder is the bookmark), once you navigate out of the folder the icon becomes just an outline.
You can tap the outlined icon to change the bookmark to the current folder (icon will then change to "filled" again).
Bookmarks can be set independently, so you can set a default folder for the "install zip file list", one for "install image" and another for the "change theme" list.
I did this because I keep zips, image files and themes organised in different folders on my phone, and by setting the bookmarks to these folders I always start where the stuff I want to flash actually is on my phone.
But as said, using this function is optional, per default the behaviour is stock twrp.