On manually creating a Backup XML file of JIRA I accidentally typed a file name with a colon ( ":" ) character inside the file name.
JIRA reports the file was created successfully but it only creates an empty file, obviously because windows can't handle filenames with colon characters. So it should have reported that the filename wasn't correct.

I checked the other special characters (\/*?<>) but for those it does rightfully create an error message.

Replication steps:
Administration window
Backup data to XML
Type file name: "C:/JIRA/Backups/Test_:.xml" or "C:/JIRA/Backups/Test:_.zip" (note colon char in the filename)
JIRA reports: "Data exported to C:\JIRA\Backups\Test_:_.xml."
Now check backups folder.
It should have created a empty file: "Test_"