OK. Since you used Alt-F4, we’ll presume you’re using a Windows version. It’d help us to know what version you’re using (either a stable, or the weird number & letter hash on the title screen/window title bar if it’s an experimental).
Does this routinely happen, or is it a one-off thing?
If it’s your first time or routinely happens: can you check whether you’ve unzipped DDA to a folder that permits writing to a file? If you’re playing it zipped or don’t permit DDA to write a file, it can’t save your game. (Yeah, that may sound mean, but people have made that mistake before.)
Thanks for helping us help you.