Interesting... not an issue I've heard anybody mention before now.
Just to check, you have extracted / unzipped the game and saved it locally, not on some kind of Cloud-based storage, correct?
Secondly... open the game and check that the 'save' folder actually exists. It should be in the 'www' folder in the same place you've saved the game.
If you've done both of those things and the game still won't save... the best thing I can recommend is a re-install.