Same answer as this thread from earlier today.
https://communities.sas.com/t5/SAS-Programming/libname-won-t-call-the-macro-variable/m-p/751254#M236...
The macro processor ignores strings bounded on the outside by single quotes. Use double quotes instead.
SAS doesn't care which type of quotes you use, but the macro processor does.
Also do not include the quotes in the value of the macro variable.
%let FileName =cbpmy20a_detail_regulatory_my20_125591_mrr_medhmo_214372.csv;
filename InovMRR "/sasdata3_MI_projects_hedis_vendor/production/inovalon/data/download/ry2021/MRR/Unprocessed/&Filename.";
If for some reason you did need to have quotes in the value of your macro variable and then use that quoted string as part of a larger quoted string the use %SYSFUNC() macro function to call the QUOTE() function to add the outside quotes and make sure the result is proper SAS syntax.
%let FileName ="cbpmy20a_detail_regulatory_my20_125591_mrr_medhmo_214372.csv";
filename InovMRR %sysfunc(quote(/sasdata3_MI_projects_hedis_vendor/production/inovalon/data/download/ry2021/MRR/Unprocessed/&Filename.));
Note that since Unix will ignore the quotes around part of the filename the version using %sysfunc(quote()) should work whether or not the macro variable includes quotes.