"ReDim Preserve FileNames(5)" kullanırsan olur.

For i = 0 to 2
    ReDim Preserve FileNames(5)
    
    For n= 0 to 4
        FileNames(n) = ""&(i*5) + n+1&".png"
        Response.Write FileNames(n)&"<br>"
    Next
        Response.Write "<hr>"
    
Next