There are two return points: one in the first level and one roughly in the middle of the mission.
Can you please clarify what do you mean by "returning to main menu deleted my save"? This is the first time I hear about save being deleted.
Viewing post in Haunted Lands: Burial Grounds comments
When you leave to the main menu and select your save file, there should be message window asking if you want to continue from the level you reached. Like here, for example: https://youtu.be/pMzSpaDM6kU
If you choose to not continue previous run, you loose all silver and artifacts that you found and will need to collect them again.
To bring everything to base you either need to get to one of two retreat points (red car) or to complete the mission.