Creating markers from file names is actually not that difficult, but can’t be done just using Nuendo.
Whatever the reason to do so (my reason when i did it could definitely have used Fredos method instead) it isn’t impossible.
I use a basic macro program (quick keys or similar) to move the current selected field in the info line. And combines it with a bunch of built in KCs.
So basically what it would do is this:
Select next event
Tab three times (number of tabs depend on if the inspector window is visible or not)
Copy
Enter
Create cycle marker and name it KC
Paste
Enter
Repeat for the number of events on track.
A bit convoluted yes, but pretty simple in actual use.