I was able to reproduce this bug, and obtained a backtrace and a description of the pathname object in question.

Digging further, I see that ensure-directories-exist ignores the result of mkdir for some reason, but that's not the real issue... There's something weird with PROBE-FILE and UNC-filespec directories.

My session transcript follows:

Z:\sbcl-git-two>src\runtime\sbcl.exe --core output\sbcl.core
This is SBCL 1.0.32.38, an implementation of ANSI Common Lisp.
More information about SBCL is available at <http://www.sbcl.org/>.

SBCL is free software, provided as is, with absolutely no warranty.
It is mostly in the public domain; some portions are provided under
BSD-style licenses.  See the CREDITS and COPYING files in the
distribution for more information.

This is experimental prerelease support for the Windows platform: use
at your own risk.  "Your Kitten of Death awaits!"
* (require :asdf)

("ASDF")
* (push "//vboxsvr//virtualbox-host/lisp-winapi/" asdf:*central-registry*)

("//vboxsvr//virtualbox-host/lisp-winapi/"
 (MERGE-PATHNAMES ".sbcl/systems/" (USER-HOMEDIR-PATHNAME))
 (LET ((ASDF::HOME (POSIX-GETENV "SBCL_HOME")))
   (WHEN (AND ASDF::HOME (NOT (STRING= ASDF::HOME "")))
     (MERGE-PATHNAMES "site-systems/" (TRUENAME ASDF::HOME))))
 *DEFAULT-PATHNAME-DEFAULTS*)
* (require :lisp-winapi)

debugger invoked on a SIMPLE-ERROR:

Win32 Error [CreateDirectoryW@8] - 123
The filename, directory name, or volume label syntax is incorrect.


Type HELP for debugger help, or (SB-EXT:QUIT) to exit from SBCL.

restarts (invokable by number or by possibly-abbreviated name):
  0: [TRY-RECOMPILING] Try recompiling winapi-package
  1: [RETRY          ] Retry performing #<ASDF:COMPILE-OP NIL {241BC8F9}> on
                       #<ASDF:CL-SOURCE-FILE "winapi-package" {240DD2F9}>.
  2: [ACCEPT         ] Continue, treating #<ASDF:COMPILE-OP NIL {241BC8F9}> on
                       #<ASDF:CL-SOURCE-FILE "winapi-package" {240DD2F9}> as
                       having been successful.
  3: [ABORT          ] Exit debugger, returning to top level.

(SB-UNIX:UNIX-MKDIR "\\\\vboxsvr\\" #<unavailable argument>)
0] back

0: (SB-UNIX:UNIX-MKDIR "\\\\vboxsvr\\" #<unavailable argument>)
1: (ENSURE-DIRECTORIES-EXIST
    #P"\\\\vboxsvr\\virtualbox-host\\lisp-winapi\\winapi-package.fasl")[:EXTERNAL]
2: (SB-IMPL::%MAP-FOR-EFFECT-ARITY-1
    #<FUNCTION ENSURE-DIRECTORIES-EXIST>
    (#P"\\\\vboxsvr\\virtualbox-host\\lisp-winapi\\winapi-package.fasl"))
3: ((SB-PCL::FAST-METHOD ASDF:PERFORM :BEFORE
     (ASDF:COMPILE-OP ASDF:SOURCE-FILE))
    #<unavailable argument>
    #<unavailable argument>
    #<ASDF:COMPILE-OP NIL {241BC8F9}>
    #<ASDF:CL-SOURCE-FILE "winapi-package" {240DD2F9}>)
4: ((LAMBDA
        (SB-PCL::.PV. SB-PCL::.NEXT-METHOD-CALL. SB-PCL::.ARG0.
         SB-PCL::.ARG1.))
    #<unavailable argument>
    #<unavailable argument>
    #<ASDF:COMPILE-OP NIL {241BC8F9}>
    #<ASDF:CL-SOURCE-FILE "winapi-package" {240DD2F9}>)
5: ((SB-PCL::FAST-METHOD ASDF:PERFORM ASDF:AROUND
     (ASDF:COMPILE-OP ASDF:CL-SOURCE-FILE))
    #<unavailable argument>
    #S(SB-PCL::FAST-METHOD-CALL
       :FUNCTION #<CLOSURE # {242502F5}>
       :PV NIL
       :NEXT-METHOD-CALL NIL
       :ARG-INFO (2))
    #<ASDF:COMPILE-OP NIL {241BC8F9}>
    #<ASDF:CL-SOURCE-FILE "winapi-package" {240DD2F9}>)
6: ((LAMBDA ()))
7: ((FLET SB-THREAD::WITH-RECURSIVE-LOCK-THUNK))
8: (SB-C::%WITH-COMPILATION-UNIT #<CLOSURE (LAMBDA #) {242058BD}>)[:EXTERNAL]
9: (ASDF:OPERATE ASDF:LOAD-OP :LISP-WINAPI)[:EXTERNAL]
10: (ASDF::MODULE-PROVIDE-ASDF :LISP-WINAPI)
11: ((LAMBDA (#:G[REQUIRE]13)) ASDF::MODULE-PROVIDE-ASDF)
12: (SB-IMPL::%MAP-FOR-EFFECT-ARITY-1
     #<CLOSURE (LAMBDA #) {23EB38BD}>
     (ASDF::MODULE-PROVIDE-ASDF SB-IMPL::MODULE-PROVIDE-CONTRIB))
13: (REQUIRE :LISP-WINAPI NIL)
14: (SB-INT:SIMPLE-EVAL-IN-LEXENV (REQUIRE :LISP-WINAPI) #<NULL-LEXENV>)
15: (INTERACTIVE-EVAL (REQUIRE :LISP-WINAPI))[:EXTERNAL]
16: (SB-IMPL::REPL-FUN NIL)
17: ((LAMBDA ()))
18: (SB-IMPL::%WITH-REBOUND-IO-SYNTAX #<CLOSURE (LAMBDA #) {23C353AD}>)
19: (SB-IMPL::TOPLEVEL-REPL NIL)
20: (SB-IMPL::TOPLEVEL-INIT)
21: ((LABELS SB-IMPL::RESTART-LISP))
22: ("foreign function: #x412404")
23: ("foreign function: #x40B28F")

0] frame 1
(ENSURE-DIRECTORIES-EXIST
    #P"\\\\vboxsvr\\virtualbox-host\\lisp-winapi\\winapi-package.fasl")[:EXTERNAL]
1] l
SB-DEBUG::ARG-0  =  1
SB-DEBUG::ARG-1  =  #P"\\\\vboxsvr\\virtualbox-host\\lisp-winapi\\winapi-package.fasl"

1] (describe sb-debug::arg-1)

#P"\\\\vboxsvr\\virtualbox-host\\lisp-winapi\\winapi-package.fasl"
  [structure-object]

Slots with :INSTANCE allocation:
  HOST       = #<SB-IMPL::WIN32-HOST {22423411}>
  DEVICE     = "vboxsvr"
  DIRECTORY  = (:ABSOLUTE "virtualbox-host" "lisp-winapi")
  NAME       = "winapi-package"
  TYPE       = "fasl"
  VERSION    = :NEWEST

1] (describe #p"\\\\vboxsvr\\")

#P"\\\\vboxsvr\\"
  [structure-object]

Slots with :INSTANCE allocation:
  HOST       = #<SB-IMPL::WIN32-HOST {22423411}>
  DEVICE     = "vboxsvr"
  DIRECTORY  = (:ABSOLUTE)
  NAME       = NIL
  TYPE       = NIL
  VERSION    = NIL

1] (probe-file #p"\\\\vboxsvr\\")

NIL
1] (probe-file #p"\\\\vboxsvr\\virtualbox-host\\")

NIL
1] (describe #p"\\\\vboxsvr\\virtualbox-host\\")

#P"\\\\vboxsvr\\virtualbox-host\\"
  [structure-object]

Slots with :INSTANCE allocation:
  HOST       = #<SB-IMPL::WIN32-HOST {22423411}>
  DEVICE     = "vboxsvr"
  DIRECTORY  = (:ABSOLUTE "virtualbox-host")
  NAME       = NIL
  TYPE       = NIL
  VERSION    = NIL

1] (probe-file #p"\\\\vboxsvr\\virtualbox-host\\lisp-winapi\\")

#P"\\\\vboxsvr\\virtualbox-host\\lisp-winapi\\"
1] (describe #p"\\")

#P"\\"
  [structure-object]

Slots with :INSTANCE allocation:
  HOST       = #<SB-IMPL::WIN32-HOST {22423411}>
  DEVICE     = NIL
  DIRECTORY  = (:ABSOLUTE)
  NAME       = NIL
  TYPE       = NIL
  VERSION    = NIL

1] (probe-file #p"\\")

#P"Z:\\"
1] (probe-file *)

#P"Z:\\"
1] (describe *)

#P"Z:\\"
  [structure-object]

Slots with :INSTANCE allocation:
  HOST       = #<SB-IMPL::WIN32-HOST {22423411}>
  DEVICE     = "Z"
  DIRECTORY  = (:ABSOLUTE)
  NAME       = NIL
  TYPE       = NIL
  VERSION    = NIL

1] (quit)
;
; compilation unit aborted
;   caught 1 fatal ERROR condition

Z:\sbcl-git-two>net use
New connections will be remembered.


Status       Local     Remote                    Network

-------------------------------------------------------------------------------
             Z:        \\VBOXSVR\virtualbox-host VirtualBox Shared Folders
The command completed successfully.


Z:\sbcl-git-two>