Importing multiple VCF files without header

Hello all. I am a new user to Hail. I am trying to multiple VCF files with this code:

mt = hl.import_vcf("./*vcf.gz", force_bgz=True, reference_genome='GRCh37')

but I ran into this error:
Error summary: InvalidHeader: Your input file has a malformed header: We never saw the required CHROM header line (starting with one #) for the input VCF file

It is likely that the vcfs do not have the chromosome header as they have this naming convention:
gnomad.merged.r2.1.1.sites.<chromosome number>.decomposed.normalized.hg19.vcf.gz
I know this may be slightly complicated, but is there a way to define the chromosome based on the file name as I read them into Hail? Thank you.