Interesting question. I just did a few tests.
It looks like MC just uses the existing file name and puts a new extension on it. I can't find any options that allow you to control the "convert format" file name of the converted files.
If this is for portable use, you could use the Handheld support in MC, which allows you to control file names and other things. It's a bit more complicated to use though.
I don't have any great recommendations, but I think I can confirm what you see: filenames are not settable when doing "convert format".
Brian.