Is their a way to save player 2's skin?

If it works like the other versions, it’s account-based, so if you’re using a guest account, it probably isn’t saving anything

So, I am guessing that means there is no way for me to save my skin online? Like I do for skins off the Marketplace?

It's meant to be an employee only skin but people are using a save editor to unlock all the developer content. So don't take the players word that they work for Epic just because they have the transparent weapon skins.

In Minecraft, the world is saved to the account that is "Player 1" and starts the game first.

When the second player joins that world, he is saved together with the world in Player 1's save slot.

If the second player starts the game themselves, they start a new game with a new world and empty inventory, as they have no access to Player 1's savegame. To prevent that, make sure that Player 1 starts Minecraft and enters their world, and that Player
2 then joins that session.

If you want the two players to be able to play independently on the same world, you would need to rent (and pay for) a Realm that is hosted on Minecraft's online service.

what part u stuck at if its the final boss and ur just after weapon skin u could do it 2 player coop u on insane and the other on casual that way must be done on campaign