I can confirm what you are seeing in LR CC. The slideshow Filename text inside LR looks correct, but the Exported JPEG slides all have the last image's filename. What version of LR are you using?
LR5.7.1 does not exhibit this issue and behaves as expected. When using Filename or Original Filename with the Text Template Editor the last image file name is what appears on all JPEG slides.
This has been reported. Please add your +1 vote at the below Problem Report:
I am using Lightroom CC 6.0.1, and yes it worked perfectly fine with previous versions. Was hoping I had not updated my laptop, but no such luck and it has the same problem; shows fine on the screen, the correct, individual file names on the slide, but when you export the slide show in jpg format; they all have the same name. Thank you for your response.
I left LR5.7.1 installed when upgrading to LRCC. Did you keep a backup copy of of your LR5 catalog? You can reinstall LR5.7.1 and reconnect to your original LR5 Catalog. Edits made in LR 6 will not be seen in LR5 and vice-versa so be careful what you do. I'm sure Adobe will fix this issue in the next update.
Unfortunately, I deleted the older version lightroom, but I do have an older separate Lightroom 5 licence, so am going to try installing it, and see how it goes, and hopefully they will come up with a fix soon! I have several backups of my old catalogue :-) I am not too fussed about seeing my catalogue in both, as long as I can display the correct file names on the jpgs so people can tell me which photos they want to order!