Hi Jeff,
Based on your description, this is unusual behavior. Normally, when exporting a Word document to PDF, Word should retain the selected file name and save location.
I also found another discussion where users reported that reverting to an earlier Microsoft 365 Apps version helped resolve PDF export issues that appeared after an Office update. You can consider trying the workaround described in that discussion to determine whether the issue is related to the current Office build installed on your device.
Here's the link to the discussion: Issues saving Word documents to PDF
This is a non-Microsoft website. The page appears to be providing accurate, safe information. Watch out for ads on the site that may advertise products frequently classified as a PUP (Potentially Unwanted Products). Thoroughly research any product advertised on the site before you decide to download and install it.
In the meantime, you may wish to contact your IT administrator and ask them to open a support case with Microsoft. Given the unusual nature of this behavior, Microsoft's support team may need to review Office logs and the affected environment to determine the cause and identify any available resolution.
If you are unsure who your IT administrator is, please refer to: Get support for Microsoft 365 for business.
In case your organization's Microsoft 365 environment is managed by a partner, you can also work with them to open a support case with Microsoft.
I hope this information is helpful. Let me know if you have any further questions.