@jorgemagana I think it's because it's trying to save the settings to a read-only partition.
The workaround I use is to create the file roms/ports/Out Run/.core.cfg
with my preferred settings e.g.
cannonball_video_hires = "ON"
cannonball_freeplay = "ON"
cannonball_fix_bugs = "ON"
cannonball_fix_timer = "ON"
cannonball_jap = "OFF"
See the Libretro Cannonball wiki page for a full list of available options.