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I'm guessing you are playing the SPQR, right? I really hate this, too. It's based on what they had to do to get the correct look for the name displayed on the map, I think. So when it auto-creates the savefile name, it has ineligible characters, and so doesn't allow you to create the savefile.

When I play SPQR, I simply delete everything in the filename before the 'R' of SPQR, and then it works fine. Annoying, yes; however I seem to remember a discussion about it concluded that it was more important to see SPQR displayed correctly on the map.
 
Stone the heretic! Er... um... you're suggesting changes to Sacred Writ (the name was set up by Shaytana)
 
When I play SPQR, I simply delete everything in the filename before the 'R' of SPQR, and then it works fine. Annoying, yes; however I seem to remember a discussion about it concluded that it was more important to see SPQR displayed correctly on the map.

indeed, IIRC this was the case (ie. preserving the canon as much as possible).

more accurately, I think it had something to do with making sure the periods showed up? that discussion was probably more than year ago, so I might be mistaken.
 
You'd have similar problems quick-saving when playing as a dynasty with an accented character in the name (or used to, not sure if they fixed that) because the game wouldn't be able to create the directory.