I agree this would be useful feature! Most people solve it using python. You only need a few lines of code, essentially a for loop which reads in the files one by one into a pd.DataFrame(), appends a column with the file name, and finally appends that DataFrame to the output dataframe, which of course you save back to dataiku.
out = pd.DataFrame(columns=columns)
for i, data in enumerate(useful_station):
with open(path+data) as f:
a = [l.replace("\n","").split() for l in lines]
d = pd.DataFrame(a, columns=columns)
d[["Month","Day","Hour"]] = d[["Month","Day","Hour"]].astype(int).astype(str)
d["key"] = data+"-"+d["Month"]+"-"+d["Day"]+"-"+d["Hour"] # new column with file name!
out = pd.concat((out,d))
out = d
The code sample above was built for something similar, you can use it as inspiration, but not just run it.