Aqui está um programa do awk que deve fazer o que você precisa:
awk '
BEGIN {
# create an array so we can map the month number to month name
split("jan feb mar apr may jun jul aug sep oct nov dec", months)
}
function filename2date(filename, month, year, i) {
month = substr(filename, 1, 3)
year = substr(filename, 4, 2)
for (i=1; i<=12; i++)
if (months[i] == month)
return sprintf("20%s%02d", year, i)
return filename
}
NR == 1 {
# this is the first line of the first file
print "Date", $0
}
FNR == 1 {
# this is the first line of each file
date = filename2date(FILENAME)
next
}
{ print date, $0 }
' ???[0-9][0-9].txt > data.txt