You should be able to save anywhere--with the exception of a few areas where saving is disallowed because it could cause some problems when I update the game. Most likely, you should be able to save where you're at. If you can actually open up the save menu, then the folder the game is in might need to have more permissions:
https://bigfishgames.zendesk.com/hc/en-us/articles/230297128-Game-Not-Saving
Viewing post in Jimmy and the Pulsating Mass comments
Here's a post from someone who had that same issue with another RPG Maker game. Check the second post for the solution, and let me know if it works out:
https://rpgmaker.net/forums/topics/21884/
That made sense but I don't receive an error message like they did, so I don't really have a file path I can attempt to duplicate. I created two folders, one called "Resource" and another called "Resources" with folders in both called "Save," "Save Files," "Saved Files," and "Saves" and set all with permissions to Read / Write but no luck.
When I unzipped the Jimmy and the Pulsating Mass Mac.zip download file, it only created a main folder that contains the .app file and a read me txt. There are no resource subfolders or anything else inside. I did set the permissions for it to Read and Write for any user (and when I attempted to make those Resource/Save folders trying to guess where it was looking to put the saves I did so too)
I just had the same issue as this. You should put a note in the Read Me and download page that the game cannot be put in the root-level "/Applications" folder (that's typically where you put things like this). It looks like you must put it somewhere in your home folder, like "~/Desktop", "~/Documents", or "~/Applications".