Save file name in embed_storage
_The documentation is not available anymore as the PR was closed or merged._ I updated the tests, met le know if it sounds good to you now :)
Having the file name is useful in case we need to check the extension of the file (e.g. mp3), or in general in case it includes some metadata information (track id, image id etc.)

Related to https://github.com/huggingface/datasets/issues/5276