Is it possible to customise report export file names?
The code currently puts all pdf's under CiviReport.pdf (and similar for csv)

Would be good to use the report title as the file name. The code to make the change is here:

CRM/Report/Form.php

search for CiviReport.pdf

If you can make the change, please file an issue and submit a PR against master so it can be included in the next release.