This is not something that's currently possible with FFCore. Once the jobs in a job group are joined together into a single file we do not have variables that will give you the ability to add those as an annotation.
The only way to do this would be to use two external nodes.
One external node before Join to invoke a custom script which would save the filenames to a known location. You would have to use a unique variable-such as the FFC Job ID-to identify all the filenames that should be used together.
Another external node after Join which would invoke a script to retrieve the saved filenames to use as annotation on the PDF.
Should be doable, but it will require scripting around FFCore to implement. The functionality is not built into FFCore proper.
