Fix to ensure the checkpoint states are saved in a common filepath with deepspeed

[rohitgr7]

What does this PR do?

Fixes #12864

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cc @Borda @awaelchli @ananthsub @ninginthecloud @rohitgr7 @SeanNaren @akihironitta

[SeanNaren]

Any chance you could double-check this fix works for deepspeed_stage_3? this should hopefully mean all the model partitions are saved in the same folder as well.

[rohitgr7]

Any chance you could double-check this fix works for deepspeed_stage_3? this should hopefully mean all the model partitions are saved in the same folder as well.

yes, works with stage_3