Okay, okay, fine.

Actually I don't know what fixed the save game issue but downloading Nilo's MOON folder for DOSBox instead of installing from DISK 1 through DOSBox solved it.
This info is for getting things to work under DOSBox for Linux only
Step 1: Create a folder to put your Tex Murphy games in. I put mine in /home/trilaan/texmurphy
Step 2: Create two folders for UAKM and Pandora. I did texmoon and texpandora.
Step 3: Rip the contents of each UAKM and Pandora disk. I didn't do ISOs, myself, I just transferred the complete folders DISK1-4/PANDORA1-6 off the cds under each heading.
Step 4: Head over to Nilo's site(
http://home.wideopenwest.com/~hbech/) and download UAKM for DOSBox0.72
and Pandora for DOSBox 0.72 and save them into texmoon/texpandora
Step 5: Copy the contents of the original DOSBox-0.72 folder into both texmoon and texpandora so the games will be directly associated with DOSBox.
Step 6: Open up the dosbox.conf files for UAKM and Pandora in kwrite or whatever and go all the way down to the bottom and add this stuff, altering folder names as you will.
For MOON:
[autoexec]
# Lines in this section will be run at startup.
lastdrive=z
mount c /home/trilaan/texmurphy/texmoon
mount d /home/trilaan/texmurphy/texmoon/DISK1 -t cdrom -usecd 0 -label DISK1
mount e /home/trilaan/texmurphy/texmoon/DISK2 -t cdrom -usecd 0 -label DISK2
mount f /home/trilaan/texmurphy/texmoon/DISK3 -t cdrom -usecd 0 -label DISK3
mount g /home/trilaan/texmurphy/texmoon/DISK4 -t cdrom -usecd 0 -label DISK4
c:
cd moon
tex197
For PANDORA:
[autoexec]
# Lines in this section will be run at startup.
lastdrive=z
mount c /home/trilaan/texmurphy/texpandora
mount d /home/trilaan/texmurphy/texpandora/PANDORA6 -t cdrom -usecd 0 -label PANDORA6
mount e /home/trilaan/texmurphy/texpandora/PANDORA5 -t cdrom -usecd 0 -label PANDORA5
mount f /home/trilaan/texmurphy/texpandora/PANDORA4 -t cdrom -usecd 0 -label PANDORA4
mount g /home/trilaan/texmurphy/texpandora/PANDORA3 -t cdrom -usecd 0 -label PANDORA3
mount h /home/trilaan/texmurphy/texpandora/PANDORA2 -t cdrom -usecd 0 -label PANDORA2
mount i /home/trilaan/texmurphy/texpandora/PANDORA1 -t cdrom -usecd 0 -label PANDORA1
c:
cd pandora
pandora
Step 7(Optional): Back in the dosbox.conf files alter things as such. This worked for me so who knows if it will for you. This is to start it in full screen with proper resolution and such.
fullscreen=true
fulldouble=false
fullresolution=800x600
frameskip=0
aspect=false
scaler=normal2x
core=auto
cycles=max
cycleup=500
cycledown=20
Step 8: Go to your KMenu(or whatever your Linux distro has for a menu) and find the area where the DOSBox stuff is. Right click the Menu and Edit Menu. New Item, Title Under A Killing Moon or The Pandora Directive. Go down to Command and type "dosbox" and at Work Path, direct it to the location of the main dosbox program. On my system it's found under /usr/bin/.
It seems like there might be more or it could just be the amount of time it took me to get it running that makes it seem that way. Well, try it anyway. I'm pretty sure that was it.
Tip: If you start either game and DOSBox says the drives are mounted with limited support, you'll have to tweak folder names until it just says "MSCDEX Installed" as that means it has full support.
Tip: Remember to go into configure before starting a game and making sure the cd drives have the correct letter for each disk as written in your dosbox.conf file.