The same happened to me. Usually I create the game folders as described in the installation text files for these RenPy games, under the Renpy_Saves folder, and copy the archive.rpa file in there, but it seems that this game creates a slightly different top Renpy Saves folder with a hyphen instead of an underscore, called RenPy-Saves
It did create the lucky.paradox/game folders under it, so it was just a matter of moving the archive.rpa file in there, that fixed it for me.