How to assign name the WordPress export.xml file

By default, the filename is defined in /wp-admin/includes/export.php:

$sitename = sanitize_key( get_bloginfo( 'name' ) );
if ( ! empty( $sitename ) ) {
    $sitename .= '.';
}
$date        = gmdate( 'Y-m-d' );
$wp_filename = $sitename . 'WordPress.' . $date . '.xml';

And you can filter it:

$filename = apply_filters( 'export_wp_filename', $wp_filename, $sitename, $date );

So you could make a plugin and add a filter there:

add_filter(
    'export_wp_filename',
    function( $wp_filename, $sitename, $date )
    {
        // do something here, and then return a string
    }, 10, 3
);