Almost all error messages already include file name where relevant, but
this one had been overlooked.  Repair.

Backpatch to 9.5.

Author: Euler Taveira <euler.taveira@2ndquadrant.com>
Discussion: https://postgr.es/m/CAH503wA_VOrcKL_43p9atRejCDYmOZ8MzfK9S6TJrQqBqNeAXA@mail.gmail.comReviewed-by: Álvaro Herrera <alvherre@alvh.no-ip.org>