Convert 5,061 PDF individual files to JPG without losing their names

Hello!

I am trying to convert 5,061 individual pdf files to individual jpg files without having to do it one by one. The problem is that when I merge them into one big file, the conversion gets rid of the file names. I deffinitely cannot name 5,061 files one by one without losing my mind. 

How can I do it?

When I convert the files using the web explorer, they are exported as ZIP folders with individual files in them. The ZIP has the file name, but the file name is changed.

Please, help me.