Oops, it seems that due to a bug in CocoaGlk, TADS 3 games are unable to save their contents. If you're encountering this problem, I've written a workaround. You can download an updated version of the TADS 3 plugin here.
To install it, right-click on your copy of Zoom in the Finder, choose 'Get Info', then go to the plugins tab and click 'Add...': the old plug-in will be replaced and TADS 3 will regain the ability to save games.
The next version of Zoom will incorporate this fix.