Images imported into Xara pages are copies, that is they are raster data loaded into vector space. Xara's roots are a vector illustration application, so things work slightly differently.
But to use the original or a unique name is quite easy to do in version 6 or Web Designer and Designer Pro 6.

Select the image on the page and right-click then choose 'Names...'
Enter the name you wish to call this image like this filename="myimagename" (do NOT add .jpg or .png) then press 'Add'

If the image is an untouched jpeg, xara will export it as a .jpg
If you want to force xara to export it as a .png or .jpg this can be done from the Web Properties>>Image [tab] under 'Web image type'