First off, the .json files would normally end up in the resource directory on your machine. it would look something like this:
AppData\Roaming\Corona Labs\Corona Simulator\Sandbox\mytestgameasidaosbdfaq8789adbs9a9s8
You can find it by clicking on file, then Show Project Sandbox. Make sure you have implemented the .json code correctly first, and use the test examples to confirm that files are in fact being created in this directory.
Explaining how your game should work is always good, but without the actual code that your menu screen running, it’s difficult to tell exactly where you went wrong. Maybe you just need to work on the json usage; if you don’t have .json files in the directory listed above, it’s safe to say you haven’t.
*UPDATE*
BTW I just suggested .json because it’s a popular option that I use for saving info. It’s definitely possible to use other methods to save values between sessions. Sql, ICE and others are available in the code exchange. I just use .json, I find it to be good as far as size and ease of use, and Rob made it super-easy to implement. My game Eagle Screech! uses it well (humblebrag) so I know that it works, but there are other options available as well