I'm seeing the same thing on Python 2.7 / Win32:
```python
In [8]: pd.datetime(1921,01,01).strftime("%B %e, %Y")
Traceback (most recent call last):

  File "<ipython-input-8-509fca1c6706>", line 1, in <module>
    pd.datetime(1921,01,01).strftime("%B %e, %Y")

ValueError: Invalid format string


In [9]: pd.datetime(1921,01,01).strftime("%B %-d, %Y")
Traceback (most recent call last):

  File "<ipython-input-9-f5acce1b2c70>", line 1, in <module>
    pd.datetime(1921,01,01).strftime("%B %-d, %Y")

ValueError: Invalid format string


In [10]: pd.datetime(1921,01,01).strftime("%B %d, %Y")
Out[10]: 'January 01, 1921'
```