Can I save on the 34970A data synchronously during a scan?

Yes, you need to update the data logger software to 3.00.03 (September 2006) or newer which contains the hot fix for the power failure problem. Check the box in the Export Data Preferences window which says: Automatically export to .csv at end of scan

The program will export data to the .csv file as it scans and the data will already be recorded if the power is terminated.