When you first start the game, it should prompt you for permission to write to the device, if the app doesn't have permission it can't write the saves.
The easy way:
Uninstall and reinstall the app - it should ask for permissions again when it tries to write the save file the first time.
The convoluted way:
Sideload a "settings" app to give you more access to settings to allow you to toggle permissions for sideloaded apps: