For a response rule in Data Loss prevention, you want to know if you are able to use a regular expression in the file name under the "File Properties" - "Message Attachment or File Name Match" condition.

Regular Expressions are not supported.

For file name matching, the system supports the DOS pattern matching syntax to detect file names, including wild cards.
Any characters you enter (other than the DOS operators) match exactly.
To enter multiple file names, enter them as comma separated values or by a line space.

The following operators are allowed in the file name:

1. . - Use a dot to separate the file name and the extension.
2. * - Use an asterisk as a wild card to match any number of characters (including none).
3. ? - Use a question mark to match a single character.

For more information, see the "File name matching syntax" section of the Data Loss Prevention Administration Guide.
Symantec Data Loss Prevention Administration Guide

This applies to all version up to the current version, 16.0.
This may change in future versions.
Refer to the latest Data Loss Prevention Administration Guide.