[Lukas Berger]

It theoretically should be saving in documents.

One suggestion is that you might try changing the data path in OOTP to use a custom path and a different folder and see if that helps at all. You can do that by going to Game Settings > Expert.

This is especially important if you have a non ASCII character in your users folder path, because that will generate that error message and you'll either need to change the folder name or have OOTP use a custom path.