Can we change Log Shipping backup file naming convention
You cannot automatically change the naming convention since it's controlled by sqllogship.exe (and if you manually change the file names I believe it will cause those files to be skipped.)

The naming convention apparently does matter regardless of the LSNs: https://www.sqlservercentral.com/forums/topic/log-shipping-skipping-files-with-different-naming-convention


I would personally just let them group based on their modified dates (since this is the true order they should be in) but if you want to compress them grouped by their name then you should control that with your compression tool / process, as opposed to the naming scheme SQL Server uses. (It would be simple enough to codify a small script to do this.)