#(...)
is shorthand for
(fn [arg1 arg2 ...] (...))
(where the number of argN depends on how many %N you have in the body). So when you write:
#(%)
it’s translated to:
(fn [arg1] (arg1))
Notice that this is different from your first anonymous function, which is like:
(fn [arg1] arg1)
Your version returns arg1 as a value, the version that comes from expanding the shorthand tries to call it as a function. You get an error because a string is not a valid function.
Since the shorthand supplies a set of parentheses around the body, it can only be used to execute a single function call or special form.