In longer words: Windows was originally a GUI system on top of DOS which was influenced by CP/M. The NT kernel did away with DOS, but the influence still lives to this day. For a simple one: not being able to name a file "con" (or any capitalized variation) comes all the way from CP/M.
For the uninitiated: OSes from that era didn't have "directories"; Everything lived in the root of the drive, including device files. So, to print a file, you could literally do something like:
A> type FILE.TXT > PRN
When DOS added directories, they retained this "feature" so programs unaware of what directories were could still print by writing to the `PRN` "file". Because of "backwards compatibility", NT still has this "feature" as well.