Extended Events XEL file reader; Is there a FileName property avaialble in QueryTableXEventData or SqlBulkCopy
I don't believe the file name is exposed via a property.
Instead of passing a wildcard path to the QueryableXEventData constructor, you could get a list of the files and process each individually:
$eventFiles = Get-Item &quot;\\some_file_path\XELog_Files*.xel&quot;
foreach($eventFile in $eventFiles) {
    $events = new-object Microsoft.SqlServer.XEvent.Linq.QueryableXEventData($eventFile.FullName)
    foreach($event in $events) {
        # event processing here, using $eventFile.FullName or $eventFile.Name
    }
}