The output of git branch -a shows that you have a remote-tracking branch called origin/master. Perfectly normal.
However, the output of git show-ref master contains
6726b4985107e2ddc7539f95e1a6aba536d35bc6 refs/origin/master
which indicates that you most likely ran something like the following low-level command:
git update-ref refs/origin/master master
This command creates a branch (pointing at the same commit as master) called origin/master, but living directly under refs/, i.e. outside the refs/heads/ namespace, where local branches normally live. Quite suspicious... Did you mean to do that?
Such a branch won't get listed by git branch -a. Git is getting confused, though, because it sees two branches whose refnames end with origin/master:
refs/remotes/origin/master, your remote-tracking branch, and
refs/origin/master, the local branch that you created (by accident) outside refs/heads/.
Solution
If you did not mean to create refs/origin/master
Simply delete it:
git update-ref -d refs/origin/master
Then, there won't be any ambiguity, and Git will comply when you try to set master's upstream.
If you did mean to create refs/origin/master
To avoid ambiguity, simply specify the full refname of the branch you wish to set as master's upstream:
git branch --set-upstream-to=refs/remotes/origin/master master
To fix ideas, here is some code that reproduces the situation in one of my GitHub repos:
$ cd ~/Desktop
$ git clone https://github.com/Jubobs/gitdags && cd gitdags
$ git update-ref refs/origin/master
$ git branch -a
* master
remotes/origin/HEAD -> origin/master
remotes/origin/master
$ git show-ref master
15b28ec22dfb072ff4369b35ef18df51bb55e900 refs/heads/master
15b28ec22dfb072ff4369b35ef18df51bb55e900 refs/origin/master
15b28ec22dfb072ff4369b35ef18df51bb55e900 refs/remotes/origin/HEAD
15b28ec22dfb072ff4369b35ef18df51bb55e900 refs/remotes/origin/master
$ git branch --set-upstream-to=origin/master master
warning: refname 'origin/master' is ambiguous.
fatal: Ambiguous object name: 'origin/master'.
$ git update-ref -d refs/origin/master
$ git branch --set-upstream-to=origin/master master
Branch master set up to track remote branch master from origin.