In PRACTICE scripts ("cmm scripts") all strings (or sub-strings) starting with a ampersand "&" are macros, which are replaced with the content of the macro. If the macro "&sn" hasn't been created before, it's occurence in any stringt will be replaced with an empty string.
To fix your command create a macro with the name "&sn" which contains the characters "&sn" by concatenating a "&" with "sn" (to prevent macro replacement).
You'll get the following code:
PRIVATE &sn
&sn="&"+"sn"
OS.Command mkdir \\execution\v1.0\Test_logs\Shmoo\Modem_VU_New\&sn\VMIN
By the way: I rather would use the build-in command MKDIR
instead of OS.Command mkdir