You bumped into something that happens before every OpenBSD release. OpenBSD is developed on a "single track": the source tree is tagged as 6.4, a release is made, developments continue for about 6 months and are made available as snapshots, until the devs find that things have changed and are stable enough to warrant a new release, at which point the tree is tagged as 6.5 and so on.
This means that for a short period of time (i.e. some days before a new release) the kernel is marked as "6.5" instead of "snapshot". When you use
pkg_add, so it'll look for packages for the kernel you are running, it'll look for "6.5" packages, which will only be available later hence the
no such directory. As answered by Rufo, adding
-D snap to
pkg_add will solve the (temporary) problem, by telling
pkg_add to look for "snapshot" packages, even with a "release" kernel. From
Force ‘%c’ and ‘%m’ to expand to ‘snapshots’, even on a release kernel
This is obviously not ideal, but it has been time-tested and is what works better for the OpenBSD devs (see the presentation linked above to know more about OpenBSD's release engineering). Adding
-D snap for a few days before releases once every two months is a small price to pay for using snapshots.