I haven't played an Ironman to the very end. Are you saying when it ends, the last save is deleted?
In any case, when you hit that "Export game" button you should get a dialog saying
"Export CK2 game to EU4
This game will be exported with the name XXXXX
This will take a couple of minutes"
Are you saying you don't even get that message? I have no real idea what that could be. Can you try it by starting a fresh game (whether Ironman or not), hitting the ESC menu and Export? Or start a game and Resign it, and hit Export Game from the Game Over menu?