Consider a macro like

        (defmacro foo ()
          `(message "Defined in %s" ,(macroexp-file-name)))

Why does this expand to

        (message "Defined in %s" nil)

when evaluated directly in a file (say using `eval-buffer' or
`eval-last-sexp`).  Shouldn't it be fair to return the file name of the
buffer, if nothing else can be used: