When you open the "Save Game" dialog window you are supposed to enter the filename to save as. Keyboard input you make then will indeed feed into the filename which is then printed on screen (and on this window). However, if you decide to click (by mouse) anywhere else on the screen, there is no way to continue entering the filename, since there is no text input line displayed. And even if there was, I'm not sure it would bring you back to the mode where you are entering the filename. Since once you clicked anywhere else on screen any keyboard input you make is considered to be keyboard shortcuts.
