If the folder was marked "private" it is possible to claim that there might be some protected right but that's a difficult claim to make. It's almost like leaving a folder marked "private" on a park bench, although on the web, getting there would require extra effort on this person's part.
However, what really is the crux of this matter, IMHO, is the attempt at blackmail, which is unlawful conduct. The real question is - what do you want to do about it?
You may want to record this person's attempts at blackmailing you. Additionally, if this person sends the photos to a newspaper, they could be liable for contributory (contributing to infringing activities) and/or copyright infringment as they have custody of photos that they do not have the right to publish/distribute. You may want to record your telephone conversations with this person. Most states make in lawful to do so as long as one party to the call consents. The police is also an alternative as mentioned earlier.