It can happen in several cases. The file dialog receives an argument which directory to show initially. If that argument is empty then the file dialog will default to the current working directory, which in turn defaults to the folder the program's run from on Windows – with the installed version this is C:\Program Files\MKVToolNix by default.
If you start the GUI from a fresh installation ( = no settings saved yet), don't add a file but click on the »browse« button next to the output file name, then the dialog should default to the installation folder if I'm not mistaken. Now enter a name without actually checking the folder and you're in such a situation.
I will probably not spend time on making this foolproof, though. As we all know that would be futile
The universe and bigger fools etc.