never tried to save the game on bleem , didn't like the Graphics , i used ePSXe insted , but there are three tingsyou should remind , does bleem have the Perfect suport of the game (i think not) , has it the same memory card bug like LoM ? (could be!?!?!) or did you forget to config the memory Card ?
bleem! 1.5B just does not support memory cards for that game. I realize that the compatibility list at www.bleem.com is outdated, but that is a pretty old game... The list there is still good for finding out details on older games.
IIRC, in version 1.4a, the memory cards worked correctly for that game. If they haven't removed them, you can get the older versions from the bleem! section on this site. Or, you can do the better thing, and just use ePSXe.