Hello, I happen to have the exact same issue as I play on Linux using Proton, reading the log it seems the game isn't allowed to create the save folder nor the savefile itself, probably because of authorizations. If you're on Windows try running the game as an administrator, on my side, since I don't know exactly why this game specifically cannot create folders when other running the same way can, I'm gonna try getting the files on my own see if it works.
UPDATE: Creating the "saves" folder and making three empty files inside named "save1.ser", "save2.ser", and "save3.ser" fixed the issue on my side, I haven't tried quitting and reloading the game yet but I hope this will not be an issue. It appears I am unable to write over my own save, something must be wrong with the game's permission :[ .