Simplest solution would be, File -> Auto Save. This is available in v1.29.x

The shortcut is added by the Code Runner extension, which has an option to save the current file before execution.

{
   "code-runner.saveFileBeforeRun": false
}

More options are available in the documentation

On VS-CODE Version 1.47 , go to :

File -> Preferences -> Settings -> (Search setting with “save”), go to bottom & follow like provided screenshots.

File > Preferences > Settings > Extensions > Run Code configuration > Save file before run.

(Visual Studio Code 1.32.3, extension Code Runner 0.9.8.)

I suggest using the extension macros as I suggested in my comment. It appears to be more powerful than the multi-command extension. macros will take command arguments and also work with your snippets for instance. It is not clear to me from the scant documentation that multi-command will do these things.

In your case:

 "macros": {
        "chooseNameHere": [
            "workbench.action.files.save",
            "your run python script here command"        
        ]
 }

I don’t know what command your Ctrl–Alt–N, it isn’t one of the defaults so must be added by a python extension. You can find it by searching in your keybindings and use that command. And then any keybinding you like to this macro:

{
    "key": "ctrl+shift+.",
    "command": "macros.yourMacroNameHere"
  },

This is currently not possible, but the corresponding feature request is tracked here.

Update

You can use multi-command. To do so install the extension and add the following to your settings.json:

"multiCommand.commands": [
    {
        "command": "multiCommand.SaveAllAndDebug",
        "sequence": [
            "workbench.action.files.saveAll",
            "workbench.action.debug.start"
        ]
    }
]

And then add your custom command to the keybindings.json:

{
    "key": "Ctrl+Alt+N",
    "command": "multiCommand.SaveAllAndDebug",
    "when": "!inDebugMode"
}