I have just used :SudoWrite on a fresh profile (mkdir /tmp/h ; HOME=/tmp/h ; vim), and got the following error:
mkdir /tmp/h ; HOME=/tmp/h ; vim
Error detected while processing function SudoEdit#SudoDo:
E605: Exception not caught: emptyfile
The error here really is the missing file name.. I get "E32: No file name" when using the regular ":w", too.
Just a matter of handling the error of a missing file better.
Should be fixed with revision: 68c7fae
Thanks for reporting!