NVRAM is saved automatically. Be sure that the following requirements are met:
* You have your nvram_directory in mame.ini pointing to a folder called "nvram".
* Such folder "nvram" exists, and it's not write protected.
* If you have any file called zombraid.nv, delete it before trying again, as well as cfg/zombraid.cfg if it exist.
It's not a requirement that the folder is called "nvram", but if you change it, be sure to change the mame.ini setting.