I have read something about save state in euae mailing list..
Here is a quote from a Richard Drummond repl ( july 2006 ):
Maybe now situation is better, or at least i hope.
Saved-states are supported. It's just that - except on AmigaOS-like hosts -
the save/load states dialogs are not implemented yet.
However, you can use it right now - sort of.
Specifiy a saved-state file to use with the command-line switch:
-s statefile=<path to state file>
F12 + Nampad 0 Quick save emulator state.
F12 + Right Shift + Numpad 0 Quick load emulator state.
F12 + Numpad 1 Quick save emulator state to slot 1.
F12 + Right Shift + Numpad 1 Quick load emulator state from slot 1.
F12 + Numpad 'n' Quick save emulator state to slot 'n'.
F12 + Right Shift + Numpad 'n' Quick load emulator state from slot 'n'.
State-saving when a virtual filesystem is mounted is not currently supported.