URLs that ends with "jar!/" is assumed to refer to a directory.

From the doc for URLClassLoader:
"Any URL that ends with a '/' is assumed to refer to a directory. Otherwise, the URL is assumed to refer to a JAR file which will be opened as needed."

Consider next URL:
jar:http://www.foo.com/bar/baz.jar!/
This is valid URL refering to a JAR file
Moreover the next URL
jar:http://www.foo.com/bar/baz.jar!
is invalid, according to spec:
From JARURlConnection:
---------------------------
The syntax of a JAR URL is:

 jar:<url>!/{entry}
---------------------------

So, URLClassLoader interprets any URL which is refer to whole jarfile as a directory, but not jarfile.
We can provide factory to URLClassLoader which will be used when creating new jar URLs. But factory is not used, because any URL that ends with a '/' is assumed to refer to a directory (not a jar file). So, only "jar in jar" urls is truly assumed to refer to a jar, and only for this urls factory parameter is correctly used.
The following sample illustrates the problem. Sample output follows the code.
=========================================================================
import java.io.IOException;
import java.net.MalformedURLException;
import java.net.URL;
import java.net.URLClassLoader;
import java.net.URLConnection;
import java.net.URLStreamHandler;
import java.net.URLStreamHandlerFactory;

public class JarBug {

  public static void main(String[] args) throws Exception {
    new JarBug().run(args);
  }
  
  private void run(String[] args) throws MalformedURLException {
    URL urlJarDir = new URL("jar:file:///C:/unexist.jar!/");
    URL urlJarFile = new URL("jar:file:///C:/unexist.jar!/jarInJar.jar");
    URL urlFile = new URL("file:///C:/unexist.jar");
    URL urlDir = new URL("file:///C:/unexist/");
    
    TestURLClassLoader clJarDir = new TestURLClassLoader(new URL[] {urlJarDir}, null, new TestURLStreamHandlerFactory());
    TestURLClassLoader clJarFile = new TestURLClassLoader(new URL[] {urlJarFile}, null, new TestURLStreamHandlerFactory());
    TestURLClassLoader clFile = new TestURLClassLoader(new URL[] {urlFile}, null, new TestURLStreamHandlerFactory());
    TestURLClassLoader clDir = new TestURLClassLoader(new URL[] {urlDir}, null, new TestURLStreamHandlerFactory());
    
    System.out.println("------\nTrying to find some class from " + urlJarDir);
    test(clJarDir);
    
    System.out.println("------\nTrying to find some class from " + urlJarFile);
    test(clJarFile);
    
    System.out.println("------\nTrying to find some class from " + urlFile);
    test(clFile);
    
    System.out.println("------\nTrying to find some class from " + urlDir);
    test(clDir);
  }
  
  private void test(TestURLClassLoader cl) {
    try {
      cl.findClassCall("SomeClass");
    } catch (Exception e) {
      System.out.println(e);
    }
  }

  //just makes findClass public
  private class TestURLClassLoader extends URLClassLoader {
    public TestURLClassLoader(URL[] urls, ClassLoader parent, URLStreamHandlerFactory factory) {
      super(urls, parent, factory);
    }
    public Class findClassCall(String name) throws ClassNotFoundException {
      return super.findClass(name);
    }
  }
  
  private class TestURLStreamHandlerFactory implements URLStreamHandlerFactory {
    public URLStreamHandler createURLStreamHandler(String protocol) {
      System.out.println("TestURLStreamHandlerFactory:createURLStreamHandler called with protocol: " + protocol);
      return new TestURLStreamHandler();
    }
  }
  
  private class TestURLStreamHandler extends URLStreamHandler {
    public URLConnection openConnection(URL u) throws IOException {
      System.out.println("TestURLStreamHandler:openConnection called with url: " + u);
      return null;
    }
  }
  
}
=========================================================================
Sample output:

TestURLStreamHandlerFactory:createURLStreamHandler called with protocol: jar
TestURLStreamHandlerFactory:createURLStreamHandler called with protocol: jar
TestURLStreamHandlerFactory:createURLStreamHandler called with protocol: jar
TestURLStreamHandlerFactory:createURLStreamHandler called with protocol: jar
------
Trying to find some class from jar:file:///C:/unexist.jar!/
java.lang.ClassNotFoundException: SomeClass
------
Trying to find some class from jar:file:///C:/unexist.jar!/jarInJar.jar
TestURLStreamHandler:openConnection called with url: jar:jar:file:///C:/unexist.jar!/jarInJar.jar!/
java.lang.NullPointerException
------
Trying to find some class from file:/C:/unexist.jar
java.lang.ClassNotFoundException: SomeClass
------
Trying to find some class from file:/C:/unexist/
java.lang.ClassNotFoundException: SomeClass