It looks to me like the links generated by the retrosheet R package are out of date.
Link to the retrosheet package is here Retrosheet Github. The last commit was 4 years ago, which may be why it is out of date.
It almost generated the correct link, but if you go to retrosheet and inspect the 1995 download link it goes to http://www.retrosheet.org/schedule/1995SKED.ZIP and downloads a zip file instead of grabbing the text file itself. This is stated here: https://github.com/rmscriven/retrosheet/issues/5
There are a few forks that are ahead of master in the repo and it looks like they fixed the issue for themselves, so check those out. You can either fork it yourself and fix it for your needs, or try to use one of the forks that someone has fixed like this one.
Hope this helps!