This is going to look like a shameless plug for my Rule Engine (Multi-Column) component (ok it is 
), but in this situation it can assist because it extends the syntax of the standard Rule Engine by enabling the return of the “current column name”.
Returning the current column name wherever the value of a column is not missing is similar in principle to the solution from @gonhaddock
NOT MISSING $CURRENTCOLUMN$ => "<CURRENTCOLUMNNAME>"
Here is a demo workflow
and the component itself is here:
There’s a fair bit of complexity contained within this component, involving a recursive loop and a number of other embedded components so it isn’t going to be the speediest kid on the block but it will achieve the result.
My main reason for posting is that I think it makes a good additional use case for the kind of features that could be useful if ever an actual Multi Column Rule Engine node is developed.