from itertools import product
['./%02d/IMG%04d.jpg'%item for item in product(range(11),range(103))]
или немного (~ 6%) быстрее, но более запутанно
map('./%02d/IMG%04d.jpg'.__mod__, product(range(11),range(103)))
$ python -m timeit -s"from itertools import product" "['./%02d/IMG%04d.jpg'%item for item in product(range(11),range(103))]"
1000 loops, best of 3: 1.56 msec per loop
$ python -m timeit -s"from itertools import product" "map('./%02d/IMG%04d.jpg'.__mod__, product(range(11),range(103)))"
1000 loops, best of 3: 1.46 msec per loop