Ok, time to take up an official statement. There are three reasons why N! doesn't allow saving:
1) as already stated, it's a psychological trick - not only of a kick in the balls, but also that "there's no leaving of Nightmare!" - it's supposed to enforce a feeling of inability to escape.
2) secondly it is to encourage an increase of speed in playing the game. Once you enter Nightmare, you're encouraged to learn to play fast, for a different feel, supporting the already dynamic DoomRL environment
3) finally, and maybe most importantly, it is to discourage cheating. Let me however state something here -- it is pretty obvious it's not any serious prevention - memhacks or VM's are totally workable. But people who can use those are *not the people that I want to prevent cheating*. The prevention is against people that are casual PC users, that can copy files, and actually do that as soon as they see the game deletes the saves. It's an obvious thing that many first time roguelike players do. Such people can go through the game up to to UV, without actually *knowing* that they miss a lot of the thrill of the game. The inability of saving in N! is to give those people a chance at experiencing the thrill of permadeath.
That said, it is true that the game grew out beyond a length that would be considered "coffee-break", so if I find a reasonable solution (just "enabling N! saves" is not a solution), I might consider.