The pynag_directory variable in __init__.py in the Model module has a trailing slash at its end. This causes the get_suggested_filename() method to product bogus path name. This needs to be fixed. Following patch might be one way to do it:
diff --git a/pynag/Model/__init__.py b/pynag/Model/__init__.py
index 2b3e42e..7d92eea 100644
--- a/pynag/Model/__init__.py
+++ b/pynag/Model/__init__.py
@@ -53,7 +53,7 @@ import all_attributes
cfg_file = None # '/etc/nagios/nagios.cfg'
# Were new objects are written by default
-pynag_directory = '/etc/nagios/pynag/'
+pynag_directory = '/etc/nagios/pynag'