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Yes, if I understand the problem correctly, the solution is in FAQ section for MacOS platform.

I tried that but it didn't work...

That's strange because the exact same error was fixed by following the guide. Basically, the game says that it can't create the save file because it doesn't have enough rights to do so.

"4. If it's not the case - set it yourself via the menu. After changing permissions click on the gear icon and choose the "Apply to enclosed items" option from the drop-down menu."

I think the main problem is here. I can't find apply to enclosed items, the setting just seems to save itself as read and write.

Check for similar options. In different versions, it may be there under a different name. Plus, the problem is that Yorna can’t make a save files inside the ”save” folder. So, in theory, you should try to change write permissions for it and this should work.