Are you playing on Mac by any chance? I’ve had mac users tell me that they are unable to save. It seems to be a permissions issue that prevents the OS from allowing certain programs to create files. My game has an autosave system, so dying shouldn’t set you back too far.
There are sites distributing my game without my permission as a browser version. This version is not officially supported and for some reason, the save feature is broken. I’ve had complaints of this emailed to me before. Please download the official version found on here. I can assure you that saving does indeed work.