Oh no! That's not a great way to play the game. I'm not immediately sure what could be going on. Can I ask a few starting questions to try and diagnose your issue?

1. Are you playing on the same device each time?
2. Ren'Py uses your browser's IndexedDB to store saves. Do you have a plugin or security setting that is preventing the use of that feature?
3. What device, browser, and browser version are you using?

Something that I just thought of: if you're playing in Incognito Mode or the equivalent for your browser, it will prevent saves from sticking around, as designed. If that's the case, it may work to import and export your saves for each session, but you may still run into issues.