You can change the file name used when downloading a file from your history with the Download App. The App defines the file name.
By default, file names are downloaded as <date>-<domain>-<file>-<shot>.png. To customize it, create a Download App, define the file name, and associate the App with one or more captures.
Blitapp also allows you to download multiple files in a ZIP file at once. This App applies to these files as well.