I mean, it makes sense. The number is 35W, not 35WEST. Or 69E, not 69EAST.
I haven't referred to the 35 splits as "THIRTY-FIVE EAST" or "THIRTY-FIVE WEST" in years, just to make sure I'm being clear. It's always "THIRTY-FIVE E" or "THIRTY-FIVE DOUBLE-U".
The problem, however, is when people actually DO interpret the letters to mean what they almost kind of mean. If someone driving north through Iowa sees a VMS that says "I 35 N CLOSED @ US 20 / USE ALT ROUTE", they would correctly interpret it as "INTERSTATE 35 NORTH". But later, when they get to Minnesota and see a VMS that says "I 35W CLOSED AT I 494 / USE ALT ROUTE", they might think it doesn't apply to them because they aren't going west.