Routing the Charge allows you to choose and kill a character after winning a challenge on defense and says that character cannot be saved. Can Paper Shield be used to cancel that event or does that count as a save. I'm leaning towards no but wanted confirmation.

Save effects are those effects that specifically use the word "save" in their text. Cancelling the event is definitelly not the same as saving the character from dying.

Paper Shield can cancel any event that does not have a gold or influence cost. The "cannot be saved" text means that if a character were killed by Routing the Charge, a save effect (Dupe, Iron Mines, etc) cannot be used to keep the character in play; "cannot be saved" text doesn't interact with Paper Shield in any way.