I don't use Mail on macOS, and I don't know of a general keyboard shortcut to accomplish what you're asking, but you CAN set up a specific keyboard shortcut to move messages to specific folders, which might come in handy if you have just a few folders you mainly move messages to.
EXAMPLE:
1. in Mail, create a folder called "Test Folder"
2. on macOS, go to System Preferences > Keyboard > Shortcuts
3. select App Shortcuts, then click the + button
4. select Mail from the drop-down menu
5. type the full path of the Menu Title you want, using -> to separate each level of menu.
Example: Message->Move To->Test Folder
6. enter a keyboard shortcut (be sure it doesn't conflict with