From MSDN, for Versions.GetVersions:
Parameters
fileName
A string that contains the site-relative URL of the file in the form Folder_Name/File_Name.
So, your list/filename.xml should be correct, if that is the relative URL.
However, when I tried this, I found that I had to URL encode my relative path. So instead of Shared Documents/filename.xml, it had to be Shared%20Documents/filename.xml.
All that being said, just because we can create a data connection in InfoPath successfully to a web service, doesn't mean that we are going to get back anything that InfoPath can use - the data connection I created could probably have the returned data accessed programatically, but the XSD created by InfoPath just goes to a group level.