This is not a feature that Prodigy supports natively but, technically, this is something that you could do in a custom recipe or in a pre-processing step.
I imagine that the pre-processing step might be easier, but it would involve creating a new folder with scrubbed audio files. The idea is to keep the file names the same, but just have the folder indicate if they have been scrubbed. Something like:
python custom-script.py --input-folder ./original --output-folder ./scrubbed
Then from here, you can point the audio recipe to the ./scrubbed folder and still get annotations with the filename in it.
Would this suffice?