When the Jenkins Job's working directory is set and the RTC Build Definition under 'Jazz Source Control', you need to set the Load Directory.
If an absolute path is used, the Team Concert plugin combines the Jenkins Job workspace (even custom one) and the RTC Build Definition load directory.

Jenkins Job log:
================
Started by user Beerens, Danny
[EnvInject] - Loading node environment variables.
Building in workspace C:\Jenkins\Workspace
RTC : checkout...
FATAL: RTC : checkout failure: Load directory C:\Jenkins\Workspace\C:\Data\IBM\RTC is invalid : The filename, directory name, or volume label syntax is incorrect
ERROR: RTC : checkout failure: Load directory C:\Jenkins\Workspace\C:\Data\IBM\RTC is invalid : The filename, directory name, or volume label syntax is incorrect
Finished: FAILURE

Workaround:
===========
Set-up Jazz Source control load directory to have a relative path, e.g. "EPNav"
Result:
-------
Building in workspace C:\Jenkins\Workspace\
RTC : checkout...
RTC Checkout : Source control setup
RTC Checkout : Accepting changes into workspace "sys24_Test_Rumba_EPNavigator_Team Workspace" ...
RTC Checkout : Fetching files to fetch destination "C:\Jenkins\Workspace\EPNav" ...