This is not an SQLite problem at all and this is the wrong forum for it.
If you can create a text file with that name on Windows, but then SQLite isn't able to do it, you may have a reason to post here. You will however find you cannot do so, which I agree is a fair complaint, but it should be directed at Microsoft. We can't help.
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I can however suggest you change that file naming convention, or introduce a translator, to use periods (points) in stead of asterisks ("*" --> ".") and underscores or dashes in stead of question marks ("?" --> "-" | "_"), which would make it work universally on all OSes.
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