This definitely due to setting a Name = X in adom.cfg
Not only does this set the name of all your new characters (which is a time-saving feature that I don't think I am alone in supporting),
but it also automatically loads any saved game with that name, skipping the opening menu.
Here's the bug: when you save the game, ADOM now no longer exits but instead goes to the post-game menu. Before it does that, it checks adom.cfg and, if a name is set, it loads the save of that name.
Which is the one you have just created.
I think we should lose the "automatically load a game" function of the "Name" parameter in adom.cfg. The usual "The name 'X' is already in use. Try another name." prompt would be fine instead.