I have no idea, if it would be possible to change the caption in the line below the grid.
But why not add the filename of each image to the grid view like this?
Edit the metadata for the Gridview (expanded or basic) to include the "File name" and arrange the display order to show the Filename first. This way you will see it bleow each image.
Another way to alway see the filename would be to set the Metadata Tooltip to include the filename, and to enable the tooltip, when you are using grid view.