Do you get any errors in the console? I would expect there to be some error(s), but you haven’t made it clear whether you’ve checked the console yet. So do check the console (instructions here), and try using double backslashes in the path \\, or forward slashes.
There was a mistake made in the process, namely naming the filter pandoc.lua instead of zotero.lua:
This won’t work, as you are calling a filter named zotero.lua, which doesn’t exist:
So the file names of the filter don’t match as is. You should rename pandoc.lua to zotero.lua. Or alternatively, use the argument --lua-filter pandoc.lua, so long as the filenames match! (I would go with option number one, though).
You were right to create the user data directory yourself. For some reason, it’s not always present by default.
There was something you missed, so cheer up, there is hope yet 
It’s not Pandoc doing that, though. Despite the name, Pandoc Reference List only uses Pandoc to convert bibliography files from .bib to .json, as required. I believe the name refers to the fact that it picks up on Pandoc citations and creates a reference list for those. I believe that the citation parsing is a custom implementation made by mgmeyers, and the citation rendering is citeproc.js, not Pandoc’s citeproc.