This is not possible with simple scripting.
You better use WinSCP .NET assembly.
This example does what you need:
https://winscp.net/eng/docs/script_download_files_to_same_folder

Hi all,
I have this remote file structure:

/root/mainFolder/folder1/folder2/.../folderN

Suppose I don't know in advance in which exactly subfolder my file will be located, can I tell WinSCP to scan all the subfolders starting with mainFolder to find the file by its name?

I tried this:
get /mainFolder/*/20200317_Annual.* F:\Download\
but just got this in response:
No file matching '20200317_Annual.*' found.

though the file does exist in one of the subfolders.