If you've saved right before you collapse from exhaustion, there's... not much that can really be done about that. It probably would have been a better idea to save before entering the desert, no?
I don't know where exactly you are standing, but try and see if you can walk to some nearby shade, like a house, or a little canyon. If you can find these locations, try walking around inside of them for a bit until your exhaustion clears.
If you can't take any more steps then you've basically save-locked yourself and you'll have to return to a prior save.