I have the same problem. ( can't save, even all button on the keyboard but "x" to just close menu.) This is also a Windows version.
hihi here to help! i have already left a comment on how to but ill just paste the text here :
I struggled with this too but, apparently there are shiny stars in places and those allow you to save the game.
I can give you a hint that there is one in the village right when you enter the place. and one infront of the entarance of the kingdom.