I assume you played the browser version in incognito mode. ANY rpg maker game thats played in the browser saves the save files in the cashe. The cashe being deleted when you close the incognito window.
(At least thats what I deducted from experience)
Other formats like html or renpy or sometimes unity games the Save files can be exported / imported.
I dont know if its even possible to export browser rpg maker games. Hope this helps and clears some things up.