For those who're interested, there's a pretty good overview of them in Practical Common Lisp. I'll quote the first paragraph of the subchapter "How Pathnames Represent Filenames", which serves as a decent TL;DR:
"A pathname is a structured object that represents a filename using six components: host, device, directory, name, type, and version. Most of these components take on atomic values, usually strings; only the directory component is further structured, containing a list of directory names (as strings) prefaced with the keyword :absolute or :relative. However, not all pathname components are needed on all platforms--this is one of the reasons pathnames strike many new Lispers as gratuitously complex. On the other hand, you don't really need to worry about which components may or may not be used to represent names on a particular file system unless you need to create a new pathname object from scratch, which you'll almost never need to do. Instead, you'll usually get hold of pathname objects either by letting the implementation parse a file system-specific namestring into a pathname object or by creating a new pathname that takes most of its components from an existing pathname."
 - http://www.gigamonkeys.com/book/files-and-file-io.html
They also came as a way to handle file paths at all. Generally Lisp prefers other data representations over string representations. The user input (text string) will be parsed into some kind of data.