Since Mail doesn’t really have anything to do with SpamSieve’s data, this could be a symptom of disk damage. Have you tried repairing using Disk Utility or DiskWarrior?
Where should it save it? Some applications, like NetNewsWire, automatically save backups within the Application Support folder, but it sounds like that’s what you lost, so you would have lost the backups as well.
I would recommend instead that you implement a comprehensive backup strategy for your Mac. I’m sure you have data that’s even more important than your SpamSieve corpus. But, yes, it’s possible using AppleScript. Here’s a script that uses DropDMG:
set appSupport to (path to application support from user domain)'s POSIX path
set spamSieveFolder to appSupport & "SpamSieve/"
set destFolder to path to desktop from user domain
-- or something like 'set destFolder to "/Users/you/path/to/a/folder"'
tell application "DropDMG"
with timeout of 60 * 60 seconds
create image from path spamSieveFolder destination destFolder base name "SpamSieve Data" with append current date