Are you asking if you may name an enum whatever you want?
Of course; why not? Use a standard that works for you. Personally, I reserve all caps only for static finals, and tends towards class naming conventions for enum values.
I'm not a huge fan of underscores in names, but in your case, since you're deliberately creating a hierarchical structure, I have less of an issue with it.
I would wonder if an enum is really necessary for naming paths: do you need to use them in switch statements (in JDK 6 or less)? Is there a reason to represent them as anything other than strings? Are the names without the paths valuable?