The bug occurs every time you go to exterior saves like Angel Pine safehouse and Doherty garage (maybe also at Las Venturas Casino), after that the game automatically saves again then you end up in the sky (probably CJ's house) and falling to your death. You always end up in Los Santos. Try Angel Pine safehouse first, that's where the bug always occurred. Another issue is that the game claims claims that I activated a cheat despite the fact that I did not.