I hit the same problem. I think it is due to these lines in openssl.cnf:
organizationalUnitName_default = $ENV::KEY_OU
commonName_default = $ENV::KEY_CN
name_default = $ENV::KEY_NAME
...
MODULE_PATH = $ENV::PKCS11_MODULE_PATH
PIN = $ENV::PKCS11_PIN
All of these lines refer to environment variables that probably do not exist in your system, hence why openssl barfs. This is probably either a bug in the sample openssl.cnf or a bug in vars.bat. If someone could open up a bug report, that would be great.
I worked around the issue by commenting out the lines with #.
Thanks.