I suppose the renaming functionality in Explorer is based on special attributes in the filesystem that Explorer recognises (that's how most of such functionality in explorer works). It would be possible to implement something similar in GNOME / Nautilus (provided you're using a filesystem that supports extended attributes), but AFAIK it doesn't exist currently.
Another possibility would be to write a nautilus plugin that uses some heuristics to detect such html file + corresponding directory and do what you want, but again I don't know of an existing solution (it's also not trivial to implement correctly).
I suggest using the UnMHT addon for Firefox to save the page in one file (maybe there is something similar for other browsers too).
Unlike the Mozilla Archive Format (aka MAF), MHT (aka MHTML) is standardized in an official specification (RFC2557) and it is also supported by IE and other applications, which makes it more future-proof. There are also MHT-viewing plugins for Opera & Safari.
http://www.unmht.org/en_index.html (Firefox extension + viewers for Opera, Safari & QuickLook)
The Firefox addon is also on Mozilla's addon-site.