I might be off message, but having done this recently I don’t think the original method used by the OP is unreasonable. If you are literally taking dozens of photos, the last thing I want to be doing after moving the probe to the next pin is faffing around with file names. So, USB stick, pencil and paper with the numbers down the side, and sort out the story-telling later. One idea though, if the oscilloscope has a RTC and that is shown on every capture, then you could put a physical clock or watch in camera view when taking the photos. Or just use the time stamps of the photos as your key between the two.
Edit: I misread OP. Yes, you don’t want to be taking actual camera photos of the scope screen these days. In the scenario I was describing, I was correlating photos of the development PCB and the probing with screen captures on the oscilloscope.