Q:

What is the filename of last saved frame using saveFrame()

In Processing, you can save a frame using saveFrame('output-####.png').  That will save the frame, name it output-0001.png, and place it in the sketch folder.  The filename is always different because it follows a sequence, replacing the #### with the next number in the sequence. 
However, saveFrame returns void.  I wish it returned the String of the filename, but it doesn't. 
How can I find out the name of the frame saved with saveFrame(...)

A:

You can always wrap that with a function to tell you the frameCount at that point:
void draw() {
  println(saveFrameAndGetFileName("output-####.png"));
}
String saveFrameAndGetFileName(String fileName) {
  saveFrame(fileName);
  String [] parts = fileName.split("####"); //getting pedantic here...
  return parts[0] + frameCount + parts[1];
}

or even more simply:
void draw() {
  saveFrame("output-####.png");
  println("output-" + frameCount + ".png");
}

EDIT: Fixed to give you the actual filename

