There seems to be no option to show or not show the file name for Desktop pictures. Therefore, boot into Safe Mode according to Start up your Mac in safe mode - Apple Support and see if the problem persists. Reboot normally and check again.
NOTE: Safe Mode boot can take up to 10 minutes as it's doing the following;
• Verifies your startup disk and attempts to repair directory issues, if needed
• Loads only required kernel extensions (prevents 3rd party kernel/extensions from loading)
• Prevents Startup Items and Login Items from opening automatically
• Disables user-installed fonts
• Deletes font caches, kernel cache, and other system cache files