You can sort of "save" the map you are in by recreating it. Here is a post about creating maps which has details on map creation and it states that:
- First, you need to find and put your custom map into the games map folder (Program Files\KAG\Base\Maps) make sure it's .png
- After that you do that, you go to "Single Player" -> "Sandbox"
- You'll be in a randomly generated map, to get the map you specifically want, you have to go to in the console (aka "Home" button) and type in the "/loadbitmap MAPNAME"
So, you can recreate a map that you want to "save" and use it as often as you like. I don't believe changes made in sandbox will propagate back to your saved map file so you'd have to perform those changes yourself.
As far as saving your entire "world" such as the state of everything built, soldier/zombie positions or whatever, and other alterations to the state of the map made since it was loaded, I haven't come up with anything pertinent. I hope that is not what you were looking for.
You could try making a mod of sandbox mode with that feature to save yourself the extra steps. I'm not sure about adding in a state save functionality, but it's a thought.