Rather than creating another variable, simply store the imported data in the same structure that you are already using. I also improved your code by using a path to the files, so the data files can be saved anywhere.
P = '.'; % absolute or relative path to where the MAT files are saved.
S = dir(fullfile(P,'*.mat')); % this returns a structure array, so why not use it?
for k = 1:numel(S)
F = fullfile(P,S(k).name);
S(k).data = load(F,"-mat");
end
S = [S.data] % optional concatenation, assumes compatible structure fields.
