Вы можете использовать:
files = glob.glob('files/*.csv')
dfs = [pd.read_csv(fp).assign(SheetName=os.path.basename(fp).split('.')[0]) for fp in files]
df = pd.concat(dfs, ignore_index=True)
print (df)
Id Price SheetName Snack
0 11 NaN Sheet 2 Orange
1 12 NaN Sheet 2 Green Apple
2 13 NaN Sheet 2 Muskmelon
3 5 55.0 Sheet1 Orange
4 7 53.0 Sheet1 Apple
5 8 33.0 Sheet1 Muskmelon
РЕДАКТИРОВАТЬ:
dfs = []
for fp in files:
df = pd.read_csv(fp).assign(SheetName=os.path.basename(fp).split('.')[0])
#another code
dfs.append(df)