Figure.savefig: Raise a FileNotFoundError if the parent directory doesn't exist

[seisman]

Description of proposed changes

Fixes #2092.

Reminders

• Run make format and make check to make sure the code follows the style guide.
• Add tests for new features or tests that would have caught the bug that you're fixing.
• Add new public functions/methods/classes to doc/api/index.rst.
• Write detailed docstrings for all functions/methods.
• If wrapping a new module, open a 'Wrap new GMT module' issue and submit reasonably-sized PRs.
• If adding new functionality, add an example to docstrings or tutorials.

Slash Commands

You can write slash commands (/command) in the first line of a comment to perform
specific operations. Supported slash commands are:

• /format: automatically format and lint the code
• /test-gmt-dev: run full tests on the latest GMT development version