How to create a macro in c++ with inside a String variable?

You cannot. Make it a String (I suppose this is arduino, otherwise you'd be using std::string):

const String string_name = String("devices/") + the_number + String("/bucket");

Macros are expanded by the preprocessor as the first step of compilation. At that stage there are no variables or strings, only token.

You can do whatever you want by using a macro function. Here is a small example using std::string

#include <iostream>
#include <string>

#define MACRO_NAME(NUMBER, OUT){replaceNumber(NUMBER, OUT);}        

void replaceNumber(int32_t number, std::string &out){
    const std::string devices = "devices/";
    const std::string bucket = "/bucket";
    out = devices + std::to_string(number) + bucket;
}

int main()
{
    std::string name; 
    MACRO_NAME(213, name);
    std::cout << name << std::endl;
    return 0;
}