A Microsoft file hosting and synchronization service.
I just called Microsoft tech support yesterday, got escalated to a supervisor, and after a frustrating fifteen minutes trying to explain I wasn't asking about sync (you get the impression none of these support people have ever used OneDrive - I had to describe the interface to her over the phone) was told this feature does not exist.
I submitted a feature request. I recommend doing the same.
Also, it's not just the OneDrive app on Android. The Photos feature on the web (photos.onedrive.com) has the same behavior.
p.s. Olivia: To further clarify we're talking about being able to exclude any folder from Gallery, including folders synced from Windows. The suggestion to look for a "camera upload" setting indicated you thought we were just talking about folders on the phone.