Currently sphinx-gallery writes output that looks like

- top_level
   - index.rst
   - subdir
      - example.rst
      - example2.rst
      - <lots of other non-rst files>
   - subdir2
      - example1.rst
      - example2.rst
      - <other stuff>

and in the top level index.rst there is a sub-section pre sub-directory and for each example there is a block that looks like

.. raw:: html

    <div class="sphx-glr-thumbcontainer" tooltip="See ~matplotlib.axes.Axes.plot.">

.. only:: html

 .. figure:: /plot_types/basic/images/thumb/sphx_glr_plot_thumb.png
     :alt: plot(X, Y)

     :ref:`sphx_glr_plot_types_basic_plot.py`

.. raw:: html

    </div>


.. toctree::
   :hidden:

   /plot_types/basic/plot

which puts in a hidden 1 element toc to include the underlying .rst files and then the logic to link to them. However this plays very badly with extremely large gallerys and the pydata-sphinx theme and gives you side bars like https://matplotlib.org/devdocs/gallery/index.html which are just way too long.

I propose that inside of each of the sub-directories and index.rst also gets written that has the same html content and a

.. toctree::
   :hidden:
   
   example1
   example2

and at the top level instead of writing many single-entry TOCs there is one

.. toctree::
   :hidden:
   
   subdir/index
   subdir2/index

I believe that this will correctly communicate to sphinx what the intended structure is and then will reflect that nesting in the left bar of the pydata theme.