Please try the following solutions, whichever ones are relevant to your system, in this order:
1. Certain antivirus software may cause such issues. If you see the error message “Warning: Unable to Save” or “Warning: Unable to Read Data”, this is the likely cause. To resolve the issue, whitelist the game in your antivirus software, or disable it completely. This is known to be a common issue with McAfee Antivirus Software and BitDefender.
2. Ensure that you have the following folder: Documents\Saved Games\Hades And allow access to it in Windows Defender and Windows Controlled Folder Access: https://support.microsoft.com/en-us/help/4046851/windows-10-allow-blocked-app-windows-security
3. OneDrive and Google Drive sync can also interfere with saving. Follow Step 5 here (https://windowsreport.com/access-is-denied-windows-10/) to disable OneDrive sync for the game's save folder.
4. If none of that works, try the Steam/Epic launch option:
5. Finally, you can have the game use a different save folder entirely with the Steam/Epic launch option:
Note this will not automatically move any existing saves. Saves can be moved manually to the new save location at: C:\Users\%USERNAME%\Saved Games
Be advised that, in this case, the Steam cloud saves and cross-saves features will not work.