WinSCP does not work well with servers that do not follow common *nix path syntax.
See also Can I connect to a mainframe server? (e.g. VMS, MVS, AS/400)

When transferring data to a Z/OS data set in Z/OS DSN format, how do you code in WinSCP the data set name (such as SYS2.USER.DATA) without WinSCP adding preceding forward slash character or logon ID information. IS it a simple matter of using single quotes around the name 'SYS2.USER.DATA' I tried that but it didnt work. There must be something else.