As you said in the comment, you got a hg38 reference genome, I can suggest you to download the gtf or gff of this genome ( https://www.gencodegenes.org/releases/current.html ). It will be usefull for the last part.

You can process your bam file with bedtools :

bedtools genomecov -bg -ibam your.bam > bedgraph.csv

That will give you a BedGraph output format (you got chromosomes, positions and even the coverage on position)

Then you can write a script (Python, Perl, whatever your want) that will do the following :

• Foreach chromosome/position of your bedgraph.csv (you can even here filter out the low coverage hit)
• Research this chromosome/position in your gtf file
• Save the corresponding gene in a list if the gene does not exist yet
• Out of the foreach save your list in a txt file

Maybe some tools already manage this task but here is my way to go.

or (as said in comments)

• Use FeatureCounts on your bam with your gtf
• Filter out genes with 0 counts
• Use Biomart to get current gene names