Display the filename when encountering `SyntaxWarning`.

```console
$ cd t && rm -rf __pycache__ && pytest t.py -q -c /dev/null; cd ..
.                                                                        [100%]
=============================== warnings summary ===============================
<unknown>:2: DeprecationWarning: invalid escape sequence \.

-- Docs: https://docs.pytest.org/en/latest/warnings.html
1 passed, 1 warnings in 0.01 seconds

```

```console
$ cd t && rm -rf __pycache__ && pytest t.py -q -c /dev/null; cd ..
.                                                                        [100%]
=============================== warnings summary ===============================
/tmp/pytest/t/t.py:2: DeprecationWarning: invalid escape sequence \.
  '\.wat'

-- Docs: https://docs.pytest.org/en/latest/warnings.html
1 passed, 1 warnings in 0.01 seconds
```

1 files changed, 1 insertions, 0 deletions

diff --git a/changelog/4152.bugfix.rst b/changelog/4152.bugfix.rst
new file mode 100644
index 000000000..ce2547294
--- /dev/null
+++ b/changelog/4152.bugfix.rst
@@ -0,0 +1 @@
+Display the filename when encountering ``SyntaxWarning``.