.html.md files not in same folder as .html files

In https://github.com/panel-extensions/panel-material-ui/pull/366 I'm adding sphinx-llm.

I experience that the `.md` files are all added to the root folder, i.e. not in same folder as .html document.

<img width="326" height="998" alt="Image" src="https://github.com/user-attachments/assets/9b1cc510-6695-4b59-a148-59c72978ff10" />

Please help or fix. Thanks.