OWA is not doing what you think it is...
When using Firefox (as you seem to be, judging by your screenshot), it always suggests "Image00X.jpg" as appears in your example image (X = a number, depending on how many images are embedded in the email, and which image of the set you pick).
Chrome behaves the same way.
In IE(11), right-clicking and saving an embedded picture always suggests "untitled.jpg" as the default file name.