Well if you feed something to an XML parser that is not well-formed XML then the parser is going to reject it, that is why there is a specification. And Saxon simply relies on an XML parser to process its input documents and stylesheets.
If you have input that is not well-formed then you can try to use a different parser like TagSoup or the HTML5 parser, you need to tell Saxon to use it using the -x
option e.g. java -jar %SAXON_HOME%\saxon9he.jar -x:org.ccil.cowan.tagsoup.Parser ...
or java -jar %SAXON_HOME%\saxon9he.jar -x:nu.validator.htmlparser.sax.HtmlParser ...
.