Is there any way to save the annotated data to knowledge graph directly, I have gone through the Database · Prodigy · An annotation tool for AI, Machine Learning & NLP page and couldn't find any.
Per the Prodigy database docs, Prodigy only provides out-of-the-box DB support for SQLite, MySQL, and Postgres.
I understand you want a knowledge graph, but what database tool are you looking to use? For example, Neo4j, MongoDB, etc.? If you're using anything outside of the built-in databases you'll need to create a custom DB class.
To give you an example, if you wanted to use MongoDB as a graph database as a knowledge graph, a community member has created a custom DB class for Prodigy: mondigy. That code is 2+ years and it's not owned by us so we can't guarantee it still works, but hopefully it should give you a start in thinking about how to develop this on your own.
Also, in addition to a graph database, typically knowledge graphs will also have an entity linking step. Here's a post that reviews what may be needed to create that: