Gameboy Visual Advance Pokemon file saved as sg1 file

I don't understand why you're doing Ctrl + O to load the savefile, that option is used to open the game itself (which is usually a .gba file).

VBA's save files should already be in .sav format, unless you are using save state which is a different story.
That .sg1 file should be VBA savestate file, so you can't properly load the game from that. The only way to load that file is starting the game, then load savestate (which is done by pressing F1)

Here's a video tutorial for reference.

Note:
When using VBA it's not only recommended to save the state, it's better to export battery file, too:

File -> Export -> Battery file

This is a really important step that you need to take.