What is happening when you try to save the game? Do you get any error messages?

Also does the game ask you for a blank disk to save the game, or to create a custom save game disk? If so then this could be the problem. Some games use a custom disk format which WinUAE cannot handle.

If this is what is happening then to get around this problem the save game disk would first need to be created with the game on a real Amiga, and then an ADF of the save disk would need to be created for use in WinUAE and other Amiga emulators.