Yep, the Mac OS UI can handle a file name with a slash, but (as Steve Goddard pointed out) on disk it quietly maps the slash character to a colon. I guess that's for compatibility with Mac OS 9 and earlier, where colon was the path separator and a slash was just a regular character in a filename...
So, the Mac OS UI will handle slashes through some subterfuge, but the underlying guts of Mac OS (the Posixy bits) will not. (To split hairs... 
)
Cheers,
--
Darius