It is possible to save invalid titles as sitelink targets. While saving non-existing but valid titles (like "blablablablabla") causes an errors, the following can be saved, even though the target page does not (and can not!) exist:
"<>", e.g. http://wikidata-test-repo.wikimedia.de/w/index.php?title=Q321&diff=prev&oldid=34182
"[]", e.g. http://wikidata-test-repo.wikimedia.de/w/index.php?title=Q321&diff=next&oldid=34182
Even stranger, trying to save "|" results in an empty string as the target title, but does not remove the sitelink: http://wikidata-test-repo.wikimedia.de/w/index.php?title=Q321&diff=next&oldid=34183
Note that some illegal titles, like "#", did get rejected with an error.
Another strange instance of this behavior appears to be this edit: http://wikidata-test-repo.wikimedia.de/w/index.php?title=Q321&curid=9133&diff=34123&oldid=34101
Here, a fill URL was used as the target page title.
Version: unspecified
Severity: major