You can't write other pre-processor directives using the pre-processor. However, I believe you could define just the file name:
#define MY_MACRO(name) "__FILE__##name_inline.inl"
#include MY_MACRO(name)
The pre-processor runs multiple times until there are no further substitutions it can make, so it should expand the name first and then #include the referenced file.
EDIT: I just tried it and the pre-processor can't handle the quotes like that.
#define MY_MACRO(x) <__FILE__##x_inline.inl>
#include MY_MACRO(foo)
works OK, but <> may not be what you wanted.
EDIT2: As pointed out by sth in comments, the __FILE__
does not expand correctly, which makes this probably not what you want after all. Sorry.