I have been using mpv for the past while now as it works the best under #wayland. I also like taking screenshots and the default for mpv seems to be that it puts screenshots in the format of mpv-0001.jpg in ~/Downloads.
I finally added a config file so that I can have screenshots go to a specific folder and I changed the filename template so that it shows what video a screenshot is from.
~/.config/mpv/mpv.conf
screenshot-directory=~/screenshots/
screenshot-template="%F-%n"