Even in Redmond's latest and shiniest you cannot name a file or folder AUX, COM1, COM2, COM3, COM4, COM5, COM6, COM7, COM8, COM9, CON, LPT1, LPT2, LPT3, LPT4, LPT5, LPT6, LPT7, LPT8, LPT9, NUL or PRN.
There is a way to create one if you use cmd or powershell and add a slash at the end of the name (e.g. aux\) but it opens another can of worms when interacting with the item