The Linux version puts its save games in a bit of a Windowsy spot:

~/Documents/KentuckyRouteZero

You can fix this by setting the environment variable KRZDATA to the location you want your data saved, IE in your .xinitrc config:

export KRZDATA=~/.local/share/KentuckyRouteZero

• Kentuckt Route Zero configuration info. on the PC Gaming Wiki.
• The Consolidated Power Company
  • Highway 0 wiki.