I created a page in confluence with a title in the format:

ABC: Lorem Ipsum

This caused an error:
Cause
com.atlassian.confluence.importexport.ImportExportException: Failed to create a location and file for the PDF export.
at com.atlassian.confluence.extra.flyingpdf.FlyingSaucerXmlToPdfConverter.convertXhtmlToPdf(FlyingSaucerXmlToPdfConverter.java:53)
caused by: java.io.IOException: The filename, directory name, or volume label syntax is incorrect
at java.io.WinNTFileSystem.canonicalize0(Native Method)

I've snipped the full exception log because it was easy to fix and reproduce the error at will.

Removing the colon from the page title fixes the problem - i.e. I renamed it to

ABC Lorem Ipsum

And the PDF was created correctly.