It's a valid number alright. But any computer has only a limited number of combinations it can store as numbers. Suppose your computer's numbers consist of 4 decimal digits. Then it can represent the numbers 0000 to 9999, that's 10000 combinations. But the computer want to reserve some of these combinations as codes for things which aren't numbers. Suppose you want to calculate
$$ 0^0 $$
This doesn't represent a number, so the computer will use its "NaN" code (Not a Number) to represent the result. In our hypothetical computer it may reserve the number 9999 for this. Then, if you type in 9999, which looks like a normal number, the computer will say it's not a number.
Your calculator also reserves one combination of digits for the "NaN" code. It may look a bit random, but that's because you get to see the decimal representation. In binary it may be something like
$$ 0.0000000000000001_2 \times 2^{-0.000000001_2} $$
(It won't be exactly that, but something like it. In any case the indices "$_2$" indicates that they're binary numbers, not decimal)