I believe you have to unzip it first, rename it then compile . Or you can put the zip folder in a new folder that is already named.

Take note of what is required here: https://support.mozilla.org/en-US/kb/install-firefox-linux#firefox:linux:...

Sorry for misunderstanding. The question is: On Mac i can specify filename and click save, on linux - no such option(see attached screenshot)

You should be able to rename files before saving in file picker even on Linux versions from www.mozilla.org/firefox/all/

You could try to change the file picker to another one to see if it works better.

type about:config in the Location (address) bar filter for ui.allow_platform_file_picker toggle this to false

After i click "OK" on this screen https://support.cdn.mozilla.net/media/uploads/images/2016-07-21-13-43-24-edc9f0.png It prompts me to select location and change name. I'm wondering could this option show up right after i clicked "download" on a web page(same as Mac or Windows behavior) - i mean 1 step vs 2 steps?

I would try the Right Click > Save As option. It always gives me an option to change the name of the file instead of just clicking the download link.