I contacted @unrealSpeccyPortable on twitter and received a nice and prompt response:
"you can only store snapshots, then load/store them to .tap on PC"
I also learned by trial and error that snapshots only work when running as root or sudo. Also from what I tried running unreal_speccy_portable from withing PiPLAY or Chameleon it is not run as root.
so when unreal_speccy_portable is loaded from pi store it is the following directory :
/usr/local/bin/indiecity/InstalledApps/rpi/Full/usp_0.0.64 (where usp_0.0.64 is the latest version of the emulator)
then running sudo ./unreal_speccy_portable allow me to save state and load state, you can also load .tap files downloaded from another emulator or tool.
hope this helps anyone else trying this.