I don't think any such method exist.
Once loaded by 'load', matlab extracts the variables from .mat file and saves in workspace. There is no info of .mat files in workspace.
If you have multiple .mat files, and want to check that a workspace variable exist in which mat file you can use 'who'.
it will list the variables if they exists in mat file.
>> lst =
This means that 'm' exist in MyMat.mat and 'x' doesn't exist.