Best option is to use the wildcard to get you filter done, as specified by @Ayn and @richgalloway. The regex options may be inefficient based on your data distribution among the source and filter, however, another option that you can try is to specify the required source name in the base search, using subsearch, something like this
index=blah [| metadata type=sources index=blah | table source | regex source="a[1-3].gz" ] | rest of the search
The subsearch will grab all the required source (a1.gz/a2.gz/a3.gz in your example) and generate an OR condition into the base search, so effectively your search will become:-
index=blah ((source=a1.gz) OR (source=a2.gz) OR (source=a3.gz)) | rest of the search
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