Using #define to include a file in C++/g++ - c++

Question

I am not trying to write:
#include MACRO(arg)
instead, I am trying to write just:
MACRO(arg)
Many people say that we cant write such macro to #include any file, but those try fails on preprocessing stage only, below one passes preprocessor but fails later, I think.
I wrote following test code tmp1.cpp (which does not compile):
#define HASH #
#define ZX(arg) HASH include <arg>
ZX(iostream)
int main()
{
}
And below is the output of some commands:
$ g++ -E tmp1.cpp
# 1 "tmp1.cpp"
# 1 "<built-in>"
# 1 "<command-line>"
# 1 "/usr/include/stdc-predef.h" 1 3 4
# 1 "<command-line>" 2
# 1 "tmp1.cpp"
# include <iostream>
int main()
{
}
$ g++ -E tmp1.cpp > tmp2.cpp
$ g++ tmp2.cpp
$ ./a.out
$ g++ tmp1.cpp
tmp1.cpp:1:14: error: stray ‘#’ in program
#define HASH #
^
tmp1.cpp:2:17: note: in expansion of macro ‘HASH’
#define ZX(arg) HASH include <arg>
^
tmp1.cpp:4:1: note: in expansion of macro ‘ZX’
ZX(iostream)
^
tmp1.cpp:2:22: error: ‘include’ does not name a type
#define ZX(arg) HASH include <arg>
^
tmp1.cpp:4:1: note: in expansion of macro ‘ZX’
ZX(iostream)
^
$
I wonder why tmp2.cpp compiles and executes successfully but tmp1.cpp fails on compilation stage ? Isn't it that first the preprocessor is run then its output is fed to compiler ? tmp2.cpp is just preprocessed version of tmp1.cpp only.
[EDIT]
I had requirement of:
#ifdef SOMETHING
#define ZX(arg)
#else
#define HASH #
#define ZX(arg) HASH include <arg>
#endif

Answer 1

[cpp.rescan]/3 The resulting completely macro-replaced preprocessing token sequence is not processed as a preprocessing directive even if it resembles one...
I believe your quest is hopeless.