I don’t think that the name can be changed as it is an internal thing how Mendix stores the files on the file system. When you provide a download from your app the filename should be correct. You can do so by using the file manager widget (https://docs.mendix.com/refguide/file-manager/) or by publishing a microflow as REST service which uses the file download activity (https://docs.mendix.com/refguide/download-file/). This way your app’s security rules are applied as well.
If you want to let the users access files directly on the blob storage, I think it would be best to copy the files to some “external” storage account or container. Maybe this module helps: https://marketplace.mendix.com/link/component/117898