It's kind of hackish, but I've been in the same situation before. I was dynamically generating a text file in javascript and wanted to provide it for download by encoding it with the data-URI.
This is possible with minormajor user intervention. Generate a link <a href="data:...">right-click me and select "Save Link As..." and save as "example.txt"</a>
. As I said, this is inelegant, but it works if you do not need a professional solution.
This could be made less painful by using flash to copy the name into the clipboard first. Of course if you let yourself use Flash or Java (now with less and less browser support I think?), you could probably find a another way to do this.