This build runs on a slave instance. It appears that it's trying to copy the sauce-connect jar from master to a directory on the master. The directory is actually out on the slave (named "Dev") as seen below:

"Started by user
Building remotely on Dev
Starting Sauce OnDemand SSH tunnels
FATAL: Failed to copy /var/lib/jenkins/plugins/sauce-ondemand/WEB-INF/lib/sauce-connect-3.0.jar to /usr/home/jenkins/workspace/DEV_test_selenium/sauce-connect-3.0.jar due to failed to create the parent directory for /usr/home/jenkins/workspace/DEV_test_selenium/sauce-connect-3.0.jar
Failed to copy /var/lib/jenkins/plugins/sauce-ondemand/WEB-INF/lib/sauce-connect-3.0.jar to /usr/home/jenkins/workspace/DEV_test_selenium/sauce-connect-3.0.jar due to failed to create the parent directory for /usr/home/jenkins/workspace/DEV_test_selenium/sauce-connect-3.0.jar
at org.apache.tools.ant.taskdefs.Copy.doFileOperations(Copy.java:839)
at hudson.plugins.sauce_ondemand.SauceOnDemandBuildWrapper$1CopyImpl.doFileOperations(SauceOnDemandBuildWrapper.java:136)
at org.apache.tools.ant.taskdefs.Copy.execute(Copy.java:508)
at hudson.plugins.sauce_ondemand.SauceOnDemandBuildWrapper.copySauceConnectToSlave(SauceOnDemandBuildWrapper.java:155)
at hudson.plugins.sauce_ondemand.SauceOnDemandBuildWrapper.setUp(SauceOnDemandBuildWrapper.java:79)
at hudson.model.Build$RunnerImpl.doRun(Build.java:133)
at hudson.model.AbstractBuild$AbstractRunner.run(AbstractBuild.java:462)
at hudson.model.Run.run(Run.java:1404)
at hudson.model.FreeStyleBuild.run(FreeStyleBuild.java:46)
at hudson.model.ResourceController.execute(ResourceController.java:88)
at hudson.model.Executor.run(Executor.java:238)
Caused by: java.io.IOException: failed to create the parent directory for /usr/home/jenkins/workspace/DEV_test_selenium/sauce-connect-3.0.jar
at org.apache.tools.ant.util.ResourceUtils.copyResource(ResourceUtils.java:449)
at org.apache.tools.ant.util.FileUtils.copyFile(FileUtils.java:519)
at org.apache.tools.ant.util.FileUtils.copyFile(FileUtils.java:481)
at org.apache.tools.ant.util.FileUtils.copyFile(FileUtils.java:310)
at org.apache.tools.ant.taskdefs.Copy.doFileOperations(Copy.java:827)
... 10 more"