I'm on MacOS, and I had to hit Space Bar to get anything to happen in the game, once I reach the blue screen. I, too, cannot hit "Save & Quit", though. I'm a bit perplexed about that.
EDIT: AH! You can't even hit "Exit" or "Save & Quit" until you've gotten past this first white dots stage. Then you can select "Save & Quit" successfully with Space.
EDIT 2: Auren mentions that this is actually a glitch that happens when you select Begin with Enter instead of Space.