Your sample desired output isn’t all clear in my opinion, but maybe this is what you want?
SELECT
[FileName],
CASE
WHEN [FileName] LIKE 'ATE_%' THEN CAST(SUBSTRING([FileName],5,5) AS NVARCHAR(100))
WHEN [FileName] LIKE '%Adhoc%' THEN CAST([FileName] + ' ' + [SheetName] AS NVARCHAR(100))
WHEN [FileName] LIKE 'AdvantageData%' THEN [SheetName]
END AS ABTALookUp,
CASE
WHEN [FileName] LIKE 'ATE_%' THEN 'ABTA'
WHEN [FileName] LIKE '%Adhoc%' THEN 'FileSheet'
WHEN [FileName] LIKE 'AdvantageData%' THEN 'Sheet'
END AS ABTASource
solved Assig multiple columns in a case statement?