Usando SQL dinámico:
Declare @Path nvarchar(max)
Declare @Sql nvarchar(max)
Set @Path = 'C:\whatEverIWantItToBe\ThisCouldChangeWithLogic\YouGetThePoint\'
Set @Sql = 'Alter Database [MyDb]
Add File( Name = ''MyDb_FileStream''
, FileName = ' + QuoteName( @Path, '''' )
+ ') To FileGroup [MyDbFileStream]'
Exec( @Sql )