Raj,
This exception indicates that a datafile has been created in the VDB in a filesystem not under Delphix control. Because this datafile is not on a filesystem served from the Delphix Engine, we are unable to capture it in a VDB snapshot.
You'll want to list the datafiles in the VDB and find one or more that are not in the NFS filesystems mounted from the Delphix Engine, and relocate the offending files to within the VDB's filesystems.
Please let us know if you have any further questions.
Thanks,
Michael