There’s a few commands that are only available in stand-alone Nyquist. These include SYSTEM, EXIT, PEEK, POKE, and probably a few others. I think they’ve been omitted because they would make it too easy for bad actors to create malicious plug-ins for Audacity. (The EXIT command was removed most recently, because it is inherently unsafe to quit Nyquist while it is running inside Audacity).
There’s been a couple of cases where I’d have liked to use SYSTEM, but I agreed with the other developers that it was too risky for inclusion in Audacity.
I don’t think it’s possible for Nyquist in Audacity to create (or delete) directories, or to delete files.
Depending on what you are doing, you may be able to make use of the FILE widget to select an existing file / directory (Missing features - Audacity Support)
If you want to create a file, you can do that with OPEN.
Example, creating an empty text file:
(setf myfile "/fully/qualified/path/to/file")
(setf fp (open myfile :direction :output))
;; To print to the file, use (format fp "Text to print")
(close fp)