Provided you do not merge an inheritance with your 'marital estate' you can probably keep it separate, and thus something that a Divorce Court will treat as your separate property. Each Court deals with this sort of thing differently however, so I strongly suggest you consult with a local divorce attorney to be sure you do things in a way that will best protect you.
Keep in mind, however, that the decision to divorce should be driven by forces other than the economics (not that you should ignore economics however!) so if you feel things are headed for divorce, it would probably be a good idea to get some counseling to address your concerns rather than just 'saving up' for the divorce. In short, divorce is a last resort. Like marriage itself, it shouldn't be entered into hastily!
A weekly guide with tips and legal advice for each stage of the process.