Hi. I had the same problem. The only solution for me was to modify the OPENERP Kernel with a patch. Then you can control the name from you xml report configuration. Example:

<report
    id="sale_order_cyls_label_report"
    model="sale.order"        
    name="sale_order_cyls_label_report"
    file="OpenJobs/report/sale_order_cyls_label_report.rml"
    string="Cylinders Labels 2x2" 
    auto="True" 
    report_type="pdf"
    attachment="('CYL'+(object.job_id.job or ''))"
        usage="default"
        keyword="client_print_multi"
        menu="True"
        header="False"
    />

Then the file name was made from the attribute 'attachment' ex. 'CYL10024.pdf'. To patch, change the file 'openerp7/openerp-web/addons/web/controllers/main.py'. Search and find at the end of file the statement:

    file_name = '%s.%s' % (file_name, report_struct['format'])

Then insert next code just before:

 #Start code added
 ''' Code added by Raul Paz to set the default file_name like the attach_name
    The attach_name mach with the attachment expresion from your report_xml
    <report
        id="report_webkit.YourModule_report_id"
        model="YourModule.model"        
        name="Your_report_name"
        file="YOUR_MODULE/report/YOUR_MAKO_FILE.mako"
        string="Your Text in the print button" 
        auto="False" 
        report_type="webkit"
        attachment="'Valid_filename_expresion"
        usage="default"
/>
'''
try:
    if action['attachment']:
        model = context['active_model']
        cr = openerp.pooler.get_db(req.session._db).cursor()
        uid = context['uid']
        ids = context['active_ids']
        objects=openerp.pooler.get_pool(req.session._db).get(model).browse(cr,uid,ids,context=context)
        file_name=[eval(action['attachment'],{'object':x, 'time':time}) for x in objects][0]
        ''' Next code force to remake the report file on each request. 
            Remove if your want to send always the first report file.
            If attachment_use is set to false the report files are always generated and stored
        '''
        if action['attachment_use']:
            aids = openerp.pooler.get_pool(req.session._db).get('ir.attachment').search(cr, uid, [('datas_fname','=',file_name+'.pdf'),('res_model','=',model),('res_id','in',ids)])
            atts = openerp.pooler.get_pool(req.session._db).get('ir.attachment')
            res = atts.unlink(cr, uid, aids, context) 
            cr.commit()
            openerp.osv.orm.except_orm('Attach doc deleted',file_name)
except:
    openerp.osv.orm.except_orm('Attach doc not deleted',file_name)
finally:
    cr.close()
#end code added

This work for all report styles...