At the moment it is not possible to save webpages when you capture a snapshot. You can achieve this by manually setting launch arguments for each Chrome entry in the snapshot by doing this:
1. Select the snapshot
2. Click on “Edit”
3. Select Chrome entries in the panel below
4. Click on “Edit this app”
5. Insert the desired website in the “Arguments” field
6. Click “Ok” to save it
You may also find useful to use a dedicated Chrome extension like Session Buddy.