(I know it's possible to create symlinks [or similar] to redirect folders to network shares, but I think it's much cleaner if the game/engine supports it directly)
EDIT: It looks like the save games are created in the same directory as the game files and they can be specified using -j or -game_dir. However, using a network share on Windows doesn't appear to be work.
Example: eduke32 -game_dir "\\my_server\share\duke3d"
The Message Log shows the directory was added successfully:
Quote
Using directory /my_server/share/duke3d/
...but it doesn't find the GRP or RTS files.