The Evil Within 2 has a save game mechanic that’s a bit different from most games. To create manual saves you must interact with a box in safe houses / in the mirror area. Below is a screenshot of what such a box looks like. The game also creates auto saves from time to time. However, it doesn’t do a lot of these auto saves (and mostly just during quests, rarely during open world exploration) so it’s recommended that you do manual saves regularly. Otherwise you might lose a lot of progress. When an auto save happens it will show a prompt in the top left corner of the screen.