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I'm not sure it's a good idea to save files named "untitled-#.py' to disk. You might want to instead use Open from Keyboard in the File menu, or its keyboard equivalent (the command is open-from-keyboard in case you want to create your own binding).
This shows an keyboard-driven file selector area at the bottom of the window. Then you can type a more descriptive name for the new file, and this will create a new blank buffer bound to the selected name if no file already exists on disk. It doesn't get created on disk until the first time you save.