You should always be able move your mouse to top of the screen to get the menu bar. If you set the tool to start in fullscreen you can also use and communicate F12 to switch between fullscreen and window. :-)
NESbag should not be an alternative to a full emulator therefore I didn't implemented a savegame or rewind function.
A save/load ability will never be part of it because a NES game should work exactly how it work. External saves are cheating. ;-)
Like to keep simple, for what it is.