Apparently not. I've just wasted half an hour trying to figure out a way to save filtered data, to no avail. It always saves all rows, regardless of the filter selection.
Since this does not look like the expected behavior for the Google Sheet Slicers, I suggest you file an issue on Issue Tracker here and provide all the requested details.
If you're indeed talking about the 'Create new filter view', I suggest making an template sheet. So instead of creating a new sheet every month, make one template spreadsheet and add all the filter views your auditors desire. Then copy that spreadsheet, and paste the new data in it.
