Here is a quick list of settings to check for which may cause your custom file names to not work:
In the Marketing > SEO Tools section, ensure the "Custom File Names" checkbox is checked.
In the Marketing > SEO Tools section, click the Update File Names button.
Make sure there are no capital letters in the custom file name.
Make sure there are no spaces in the custom file name.
Make sure there are no '/' (forward slashes) in the custom file name.
Make sure the custom file name has an extension at the end, like *.html, .asp, etc.