@johnodon the extra / is not an issue, issue here is that the core doesn't retrieve the path to your system directory (if it did, it wouldn't try to create this /home/pi/RetroPie/roms/arcade/dc/data directory). My only guess is that there is something wrong with your retroarch configuration/overrides for this core/game (system_directory should be set to ~/RetroPie/BIOS, systemfiles_in_content_dir should be set to false).
If you can't figure out what's wrong in your configuration files, a quick and dirty fix would be to create the /home/pi/RetroPie/roms/arcade/dc/data manually, you'll probably have to put system files in /home/pi/RetroPie/roms/arcade/dc too.
Also, make sure the core is up to date.