This happens if your browser's security settings do not allow accessing local storage when the application is embedded in an iframe. I cannot fix this in my code, so you can either
1) Try another browser (are you using Firefox, perhaps, because in my earlier projects people have had similar issues on Firefox, although on default settings it should work fine on Firefox)
2) Change your security settings (not sure which ones, though)
3) Try this direct link: https://v6p9d9t4.ssl.hwcdn.net/html/3116072/index.html It's a link to the web page itch.io embeds inside the iframe, so saving should possibly work there