Assuming that all the necessary state is exposed to UnrealScript, there's no reason you couldn't write your own save and load system.
I'm facing a similar problem right now with Unity3D. It doesn't have any API for serialization of the scene in any respect. In fact, some components aren't accessible at all from scripts, making it impossible to restore those. Some stuff in the particle system works like this I believe. But at least it's possible to restore enough state that matters in order to continue the game. I'm working on a generalized solution right now, which should be adaptable to most people's needs. Then I'll probably LGPL it. Saving games is a huge problem for a lot of non-programmers with Unity, it would be nice if the community had a good, free solution.
Bassoon, n. A brazen instrument into which a fool blows out his brains.