The fallback directory is also used for videos streamed from websites, so the player has to remove invalid filename characters, which are /?:&\\*\"<>|%#@^
If you remove those characters, it should work. Some of these characters might be allowed by the Android file system, but UE4 is cross platform, so it just removes the characters that illegal for other operating systems as well. The player does not look in subdirectories for the scripts.
I suppose I could remove the invalid characters for streamed video titles only, and leave the original filename for videos that are played locally or with SMB.