Unfortunately, that's just the way it is. You are better off using a lexical variable for (at least) the outer loop:

for my $file (@test_files) {
  # use $file here
  while (<TEST_FILE>) {
    # use $_ here
  }
}
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The default loop variable $_ is only meant to be used for small code fragments. For anything more complicated you should use a named lexical.

Update: Your example does illustrate the difference between for loops and while loops. In the following nested loops, $_ does not get clobbered:

for (1..3) {
  print "_ before = $_\n";
  for ('a'..'c') {
    print "_ inner loop = $_\n";
  }
  print "_ after = $_\n"; # prints same as before inner loop
}
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