If you want to select the database filename via an environment variable, you can use the following options as a workaround:

Using envsubst from GNU gettext

You can install it via brew or on linux.

First, define your database filename, and create a new configuration template file.

export JEKYLL_DB=events-blr.db
cp _config.yml _config.txt

Then, use the database name in your new ocnfig file

sqlite:
  data: events
  file: $JEKYLL_DB
  query: SELECT * FROM events

Then, use envsubst to generate the _config.yml

envsubst < "_config.txt" > "_config.yml"

Using multiple configuration files

You can define your sqlite parameter multiple times across multiple files, using different database filenames

For eg, _config-blr.yml could only include:

sqlite:
  data: events
  file: events-blr.db
  query: SELECT * FROM events

And you can run jekyll using jekyll --config _config.yml,_config-blr.yml

However, this requires duplicating your query across multiple files.