I have multiple markdown files to become a Word doc:
pandoc -f markdown --toc -o out.docx
file1.md
dirA\file2.md
dirB\file3.md
If you specify multiple input files, they are actually concatenated by the shell and then passed to pandoc. So no, the input file names don't come into play (which is counter-intuitive for HTML, but makes a lot of sense for docx output).