Me being the dullard I am, perhaps I clicked on a download link that had not been updated.
The download link on Electrum.org is always up to date, so if you downloaded it from the official site, then this would not have happened. I am assuming you didn't bother to verify your download with the developer's PGP keys prior to installing?
There is no scenario in which Electrum will automatically generate a wallet with an address in the file name. The only two remaining options are that either someone else put it there (meaning you downloaded a malicious copy of Electrum or a malicious wallet file by mistake), or you put it there without realizing what you were doing (meaning that you must have copied it from somewhere else first - it's not a Coinmama deposit address?).