First of all you should understand What does :open do in vim? (thanks @Carpetsmoker for link)
open has only one argument
:open /pattern/ (see
:help open and link above) and no complete options.
For file names completion you should define your own command, something like this
:command -complete=file -nargs=1 Open open <args>
Pay attention to
-complete= argument it may take some value listed in documentation and including
buffer etc. and finally custom function.
-nargs=1 indicate that you command can take only one arument
:help command for full explanation and examples.
Now you can type
:Open and then press Tab
Or just use
:edit command instead, it has completion option like as a