Except Google prefers hyphens... (At least for file names.)
Did you bother to read the Berners-Lee article? It's techno-geek but very enlightening (at least for those with problems putting :'s, etc, in a URI).
It is 40 pages, so no. But I did skim the section on valid characters. And I did PDF it and put it in my "References" folder for later reading.
Then, I'll add my echo of Rémon's query about what happened when you tried 'odd' directory names.
I didn't notice any issues with hyphens in directory names, but that doesn't mean you'd want to do that.