cartesio, here's what's happening, and a solution:
Kindle has 2 flavors of periodicals - blogs, and newspapers/magazines. Blogs are *flat* periodicals, meaning that all articles are presented in a single section. Newspapers/magazines are *structured* periodicals, meaning that articles are presented in sections. The recipe determines whether the downloaded content will be assembled as a flat or structured periodical, based on the number of feeds. 1 feed = flat, >1 feed = structured.
The Kindle GUI offers 'Keep This Issue' only for structured periodicals, not flat periodicals. So in other words, a recipe that creates its content in a single section will not have the option to save the issue. This is a Kindle issue, not a calibre issue.
Therefore, the recipe needs to download multiple sections, which will cause calibre to build it as a structured periodical, which will enable the Kindle to save the issue.
The individual RSS feeds for The New Yorker may be found at http://www.newyorker.com/services/rss/summary
I modified the built-in recipe, changing the 'feeds=' line to the code below, and adding the timefmt='' line to enable archiving. (This is a sampling of the individual New Yorker sections, but you can adjust to taste):
feeds = [(u'Reporting & Essays', u'http://feeds.newyorker.com/services/rss/feeds/reporting.xml'), (u'Humor', u'http://feeds.newyorker.com/services/rss/feeds/humor.xml'), (u'Fiction & Poetry', u'http://feeds.newyorker.com/services/rss/feeds/fiction.xml'), (u'The Talk of the Town', u'http://feeds.newyorker.com/services/rss/feeds/talk.xml'), (u'Comment', u'http://feeds.newyorker.com/services/rss/feeds/comment.xml'), (u'The Financial Page', u'http://feeds.newyorker.com/services/rss/feeds/financial.xml'), (u'Politics', u'http://feeds.newyorker.com/services/rss/feeds/politics.xml'), (u'Movies', u'http://feeds.newyorker.com/services/rss/feeds/movies.xml'), (u'The Balance Sheet', u'http://www.newyorker.com/online/blogs/jamessurowiecki/rss.xml')]
That should get the behavior you want.