ZXBaremulator produces the actual audio output when you save. 

I used a laptop, a jack-jack cable, and audacity to record the audio signal.

Then, I splitted the stereo track into 2xmono, kept only one, then, used amplification twice (gain : 22db) to have an acceptable shape.

I was able to load it successfully in Fuse, yeah :)

I'm now wondering if an Arduino with an audio shield could record the signal, maybe amplify it a bit, and, at the very least, could then store it back on a sdcard.

I ordered an ethernet shield, so maybe I could make it available on my LAN, then my Mac could poll it (automatically), convert it as a TZX file, then publish it back on the exposed Arduino.

Many things to explore, but at least I am now able to save a program I would write directly on the Pi.