Thanks for trying! I only just tried with sbcl myself, and I found I had the same problem. I should have used UIOP compatibility layer, or tested with sbcl at least!
This fixes the path in the repl:
(merge-pathnames #p"Downloads/nicclim.lisp" (user-homedir-pathname))
(compile-file *)
but then sbcl has a conniption on
(load *)
Where it is angry I wrote this: (lambda (path &aux (path (string path)))) which I believe is conformant shorthand for (lambda (path) (let ((path (string path))))) which I think is obviously allowed. I will think if there is an optimize declamation that will fix this in sbcl or something since it is kind of late days to fix.