In case you (or anyone else) still needs help with this, it seems like the problem is permissions. First try the following: right-click on the program, chose "show package contents," then click "MacOS" and finally click "The Blind Griffin." This opens up the game; see if saving works.
If it doesn't, try the following: instead of clicking the "MacOS" folder, go to "resources," then "autorun." Right-click "The Blind Griffin.py" and choose "Get info," scroll down and change the "staff" and "everyone" permissions from "read only" to "read and write." Finally, do the same thing for the file "The Blind Griffin.sh" (I wasn't sure which file was the problem, so I changed both to be safe). For whatever reason, I still get an error if I try to run the program normally (i.e. by clicking on the icon), but it works if I run it from the "MacOS" folder. Hope this helps!