Have you tried doing this?
Iterator to iterate through your list of files.
HTTP module to download the file.
Array aggregator to aggregate the downloaded files and name them. I’m thinking of using functions to give them a proper name from the URL.
Map the array to the attachments in Make.
A different thing I might have done here is I was sending a JSON structure over to Make, which includes the title of the “file”, so that makes my work easier.