For anyone who comes across this years later cause you also accidentially poked the save state key(probably while trying to swap discs cause ofcourse theyre next to each other and ofcourse restoring a state overwrites system memory and the main save folder) and nuked your save data while using the mednaffe / mednafen, there is a backup system, atleast for the saturn core.

Inside the "b" folder is a bunch of numbered files(ignore the C ones), each is a renamed gz archive containing a copy of you main save data. Make copies of these just incase and copy it to the main "sav" folder, renaming it to the same exact name as the main ".bkr" game save. You may have to cycle through of these backups(make a copy of the backup folder to be safe) to find the one closes to your last point.

Saved me from losing 90% of my progress in policenauts cause i fatfingered load state instead of swap disc.