I created a file named aux.docx on a pendrive with Linux. Tried to open it on windows 7. It crashed word with a strange error. Don't know what would happen on 8+.
It would fail, too. ‘CON’ has been a reserved name since the days of DOS (actually CP/M, though that doesn’t have direct lineage to Windows) where it acted as a device name for the console. You can still use it that way. In a CMD window:
`type CON > file.txt`, then type some stuff and press CTRL+Z.