I'm not sure I don't have Windows, but command.coffee has the following:
And that looks like an excellent candidate for the source of your problem. On a Unixish system (Linux, OSX, FreeBSD, Cygwin, ...), mkdir -p will create the desired directory and any intermediate directories that are required. I suspect that the standard Windows mkdir does not know what -p means, so two directories are created instead.
You can fix your local version of the CoffeeScript compiler source to use the mkdir -p version for Windows, or you can try installing Cygwin to get mkdir that knows what -p means. Sending a bug report to CoffeeScript maintainers will also be a pleasant touch (but probably not necessary, as they will find this question themselves).
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