Thanks Julius I found the problem, the reason why the directory couldn't be removed because the command before was holding it because it's deleting a file inside the directory the last command is trying to do.

so  ##class(%File).Delete(FileZip) is deleting a file inside the directory "FileUnZip"  (##class(%File).RemoveDirectoryTree(FileUnZip))

I've removed the first call and now the second is execute Ok 

Thanks