If you can put those files all together in a single excel workbook, you can then use Custom SQL put them together and add the Month field:
I don't think there's a way to automate this without either some VBA code to create a single Excel file or using the Tableau extract API (Python would be my choice) to take multiple files and create a Tableau data extract.
If you're at all familiar with VBA and are running this on a machine with Excel, then that option is probably easiest. There are many examples of how to combine multiple Excel files, either into one sheet (and having the macro add the file name to a column) or with one file per sheet, after which you could use Shawn's technique above.
Whether this is worth the effort, I guess depends on how often you're doing this, how many files, whether it needs to be fully automated, ...
I would like this feature, sec filings have the filing date in the file name but not in the record table list.
it would be great to have a field created with the file name