PR Summary

I don't know about testing this, but I did check that it works correctly if you save to an absolute path or to a relative path above the current directory.

Fixes #23581

PR Checklist

Documentation and Tests

• Has pytest style unit tests (and pytest passes)
• [n/a] Documentation is sphinx and numpydoc compliant (the docs should build without error).
• [n/a] New plotting related features are documented with examples.

Release Notes

• [n/a] New features are marked with a .. versionadded:: directive in the docstring and documented in doc/users/next_whats_new/
• [n/a] API changes are marked with a .. versionchanged:: directive in the docstring and documented in doc/api/next_api_changes/
• [n/a] Release notes conform with instructions in next_whats_new/README.rst or next_api_changes/README.rst