I can’t say the file name but to print your actual session (scripts used) just press F13 and choose option 2 or 4 to save the session content.
The file name is the one that shows up when you do option 4 that Wilson indicates above.
I believe the first time you run the STRSQL command it creates a default file for the device session.
The previous SQL statements (and result messages) are not stored in a file. They are stored in internal space objects associated with your user profile. Interactive SQL will dump the history to a file if you request it, as noted above. (You can type any file name you want.)
The history is not only kept by user profile; it is further separated by device name. If you sign on concurrently to two devices and enter STRSQL, you’ll quickly see the difference. However, this separation only happens when you first try to run STRSQL concurrently under two different devices. As long as you stick with STRSQL on one device at a time, you should continue to see full history regardless of device. (Once you cause the separation, there’s no way to get it integrated again.)