You'll have to change the software on the Arduino USB chip itself, and you may need to modify the drivers for the Arduino USB interface on the computer side. It's not trivial, and probably not worth it.
However, Windows attempts to use the same serial port for the same devices in the same USB positions, so if you figure out which is which (blinking the LED at different frequencies) then you can mark the USB port itself with the com number that Windows uses when you plug an arduino into it.
If you use a hub, and you move that hub to a different port, the com numbers will change, but if you keep it in the same port, then it too will try to have them match what they have been in the past.
It's an annoyance, but it's a design decision by arduino.cc. The old FTDI chips kept their assigned com port numbers because they have individual serial numbers and windows would attempt to reassign the same com port to the same chip each time it was plugged in, regardless of its location. When Arduino.cc moved to a programmed MCU for the USB interface, they chose not to provide USB serial numbers, and thus windows has little option but to try to keep things straight by determining the location in the USB hierarchy that the device is connected, and try to keep com port assignments the same using that method.