Well if a player is able to use a command like PrtScr button to take a screenshot and then the shot is saved to a specific folder why not make an event that can save a screenshot to a folder during the save process. Over in the menu where you want to load the game from a slot you could probably display the saved image. Each new save could overwrite the current image and the image name could be pretty basic like saveslot(X).png for example where X represents the slot that was chosen to save to. When saving to the same slot have it simply overwrite any existing image with the same name. This ensures on load it would always find the image as the name of the image for the slot never changes.
This is how I would try to handle it but this is just a basic starting point to help get you moving with it. I may end up doing this same thing in my own project. If I do I will do it in blueprints and share my example.