I cannot reproduce your problem.
Can you post a screenshot of your WinSCP external editor configuration?
And please describe step by step what are you exactly doing to "create a new file from FTP".
Please try another text editor. Perhaps sublime is messign up the temporary file save location.
Whenever I try to create a new file from FTP, it will open up the external editor (sublime text 3) and then when I try to save it says:
Unable to save: C:/user/home/temp/file.php
Error: The System cannot find the path specified.
Why is it trying to save it in the temp directory and not on the server?