That is the actual image file. You can save images in another folder. And you can set a default folder for all images. A lot of people use a folder called “attachments”.
I use images and try new give them a similar name to the note they’re in, so they’ll be next to each other in the file explorer. If you right click the image in the explorer and rename the image, the link text in the note where you pasted the image will automatically update to the new file name.