Technically, you can save your progress if you're playing on a Wii. It's just not exactly a "legitimate" method. Whenever you use the remote to go back to the console's menu screen from a Virtual Console game, a save state will be created. The next time you load the game, you'll resume at the exact spot where you stopped playing.

In my opinion, you shouldn't resort to this unless you absolutely have to as it wasn't intended by the original creators.