I can't think of a legal mechanism by which saving (or distributing) content in a specific format could automatically transfer copyright on it. Something about the format could possibly be patented, though mostly that would be an issue for application developers who want to encode or decode the format, more so than for people distributing content in that format. Maybe file headers could be copyrighted, which would restrict your right to use the format without permission (and I recall in the early days Bungie claimed the file-header-copyright thing, which was part of why patches used to be a thing instead of just whole files, even if they contained no Bungie creative content).
Even then, that would just mean that you're not allowed to distribute files in that format without permission. The copyright owner could offer to grant permission if you transfer copyright of your content to them, but that offer wouldn't mean that copyright transfers automatically upon distribution; it would just mean that you're violating copyright if you distribute without explicitly transferring copyright. (Much like distributing software with GPL'd code doesn't, contrary to popular belief, automatically GPL your code; it just means you're violating copyright if you don't GPL your code).
But I'm pretty sure there was a court case some time in the past 15 years challenging the legality of claiming copyright on file format headers. I don't recall the exact case or outcome, but it seems a pretty tenuous concept to me, and I'd be surprised if it stood up in court.