App saves to SD card, phone has no SD card slot!
Yes, Rob is right. Android is very well designed. You have a SD card that is the memory of your device. If you'd have a SD Slot then you'd have 2 SD Cards. Why this happens? Because it's assumed that Android needs a place where to save pictures, savegames, etc and it has a special partition for each: SD (yes, it's emulated), applications, system files, etc. 

This is why when you do a full reset on the device those files are not deleted! Because it's not necessary! Only system files and folders are touched in those cases.