OK, I wrote a program for watching for the directory, and today found out what the problem was. The directory appears when I run git commit command, which I customized to use a separate EmEditor instance (with /sp argument) as commit message editor.
I compared environment variables of this instance of EmEditor with variables of EmEditor started normally (using Process Explorer), and saw that APPDATA path is invalid in the instance started by git. The problem is, my Windows account name is cyrillic, and when I start git it changes the current codepage or something like that, and cyrillic name in the path becomes gibberish.
So, probably, there is nothing EmEditor can do about it. :-(
OK, I just wrote a simple wrapper that changes all the environment variables to their appropriate values and then starts EmEditor, and customized git to use this wrapper. So far seems to work fine, without creating the D:Emurasotf directory. :-)
BTW, it’s not APPDATA that caused this problem but USERPROFILE variable.