Symptoms
When trying to Convert to PDF from URL and save it to a file this error was thrown:
The given path's format is not supported. Source: mscorlib.
Diagnoses
In this case a quick check of the file path revealed that it was set to use the item reference of the day's date and time. The problem with that is that K2 formats the time portion of that reference with colons (example--> 19:14:13). So in this case the SMO was trying to save a file with colons and colons are reserved characters on the part of Windows.
For further reading:
https://msdn.microsoft.com/en-us/library/windows/desktop/aa365247(v=vs.85).aspx
Resolution
Redoing the file name under which the pdf would be saved to something that did not involve reserved characters resolved this error.