If I were Metalink, I would say that the "proper" way to do it is to have proper, separate translation units and use the Linker to join them together.

That way, the tools will generate proper debug information that will include the file names (like Erik said).

You get the same effect in 'C' if you #include executable source...

The reason is, as already described, because #include, $INCLUDE, or whatever are literally just text pasting operators - so the compiler/assembler really can't tell what file the included lines actually came from!