The name of the Story (project) is included within the meta-data section of the generated Story HTML file, and because you can name that file whatever you like there is no direct correlation between the file name and the Story (project) name. The story name within the meta-data section may be used as the Title of the Story, depending on which story format you are using and the title overriding features of that story format.
When you import the contents of a Story HTML file into the Twine 2.x application the import procedure uses the Story name contained within the file’s meta-data section as the name of the generated Story (project). Again the file’s name has no effect on the outcome.
While I personally agree that having the ability to choose where to save each Story’s (project) HTML file would be good addition to the Twine 2.x application, that would not necessarily alter the fact that Story name associated with specific project is not the same thing as the file name of the project file.