Hi @kraftyDevil,
This may or may not be of interest to you and addresses your question in a roundabout way.
Some time ago I released a utility tool that I developed to help me with debugging complicated macros. It consists of a few plugin actions and some helper macros. In use it does quite a lot of things including showing a “breadcrumb trail” of nested macro calls - much as you are asking about.
Because it addresses a lot more than just your immediate question, you might find it overkill.
Anyway, you can read about it here and also download the full user manual there: