What causes ERROR 000210: Cannot create output in_memory\AND from ArcPy?

The ArcGIS for Desktop "ERROR 000210: Cannot create output" has been reported on this site a number of times but an in_memory workspace seems to have been implicated only once:

ERROR 000210: Cannot create output in_memory

which was in Why do I get 000210 Error trying to wirte output to in_memory workspace in ModelBuilder

I have just encountered the same error message from ArcPy, using ArcGIS 10.2.2 for Desktop both in a Python script tool and from IDLE.

I have determined the cause and so I am asking a question in order to provide an answer to anyone who may encounter it in future.

What causes the error message below from ArcPy?

ExecuteError: ERROR 000210: Cannot create output in_memory\AND
Failed to execute (CopyFeatures)