If you're entering a file-name with spaces (e.g. "New folder"), tab completion mucks up. So, if you have a directory in your home called "New folder":
"New<tab> goes to "New folder but then you can't tab any further (for instance you can't use tabbing to fill in the contents of the folder)
"New <tab> gives you possibilities from your home directory to complete with.
If you have a file called follow.js in your home directory, then "New fol<tab> may well complete to "New follow.js even if this directory doesn't exist.
This should now be fixed for R's internal file completion, which is not active by default on Linux but can be activated by rc.settings(files = TRUE). I don't know of a solution when using readline's filename completion (short of removing space as a word-breaker, but that will cause other problems).