$\newcommand{\R}{\mathbb{R}}$ $\newcommand{\al}{\alpha}$
Let $\Phi:\R^2 \to \R$. Let $\al:I \to \R^2$ be a path which is differentiable at $t=0$, and $\dot \al(0) \neq (0,0)$.
Assume that $\Phi \circ \alpha$ is differentiable at $t=0$.
Is it true that $\Phi$ has a directional derivative at the point $\al(0)$ at the direction $\dot \al(0)$?
Remarks:
1) If $\Phi$ is Lipschitz, the answer is yes (and the directional derivative coincides with $\Phi \circ \alpha'(0)$). Thus, in order to find a counter-example, we need to search for non-Lipschitz functions.
2) In this question, I gave what I thought to be a counter-example, which turned out to be wrong (example 2).