Finally, I found the reason (Actually my friend found the reason ;) ).

Previously I was trying to execute the installation command from another location apart from where UTPLSQL scripts exist. But this works fine when I execute the command from the location where UTPLSQL exists.

@jgebal Maybe something we could fail-safe? Or give an expressive error message?
Don't know the capabilities of SQL*Plus enough - in SQLcl it would be possible.

This was clearly an OS error.
One thing we could do is to make output even more verbose for the installation.
This might not be great idea by itself.
Alternatively we could try to do a check for current directory to see if it's OK.
That would be a nice little enhancement to add.
I'll reopen this issue so we can keep track of it and make an improvement.