So you can provide the dataframes as a dict (as in duplicate question: python/pandas: how to combine two dataframes into one with hierarchical column index?), and then the dict keys are used:
pd.concat({'df1':df1, 'df2':df2, 'df3':df3}, axis=1)
or another option is to use the keys
keyword argument:
pd.concat([df1, df2, df3], axis=1, keys=['df1', 'df2', 'df3'])