Hm, that game is really weird, I just took a look at the file list. It’s divided into multiple exe files (stage1.exe, stage2.exe, stage3.exe etc.). So when you launch the game, it will load stage1.exe, so the save state won’t find the stage5.exe it’s looking for.
This isn’t a particular Magic Dosbox issue, but a problem with the way save states are implemented in Dosbox. One of several reasons why the official Dosbox build does not support save states at all. So unless it is actually working in one of the unofficial PC builds, I don’t think it can be used on Android, either. You can head over to VOGONS (official Dosbox forum) of course, and look for a general solution there. ?
Always keep in mind please that the save state feature is in alpha state (and probably will remain there forever), and can cause a lot of grief. I’ve been using it on PC (ykhwong’s build) a couple of years ago, and came upon so many issues, I stopped using it altogether. It’s much more reliable these days in Magic Dosbox in terms of compatibility and stability, but some things just can’t be fixed, I guess. ?♂️