I was trying to save a many-to-many relationship set to the database, it saved my mapped objects. It did not however save my composite table (linked table) information.
The mappings and schema I was using for my classes (only extracts from the required sections):
Trust:
<bag name="Trustees" table="FinanceStore_TrustTrustee" cascade="all">
<key>
<column name="TrustId"/>
</key>
<many-to-many column="TrusteeId" class="FinanceStore.Model.Entities.Trustee, FinanceStore.Model"/>
</bag>
Trustee
<bag name="Trust" cascade="all" table="FinanceStore_TrustTrustee" lazy="true">
<key>
<column name="TrusteeId"/>
</key>
<many-to-many column="TrustId" class="FinanceStore.Model.Entities.Trust, FinanceStore.Model"/>
</bag>
Database schema:

The mapping worked, in the sense of alowing me to retrieve my objects without creating a object between Trust and Trustee, which is the correct way to handle the objects. After some searching on google I found that I was using the wrong collection type mapping and should have used the <!--[endif]--> <idbag></idbag>configuration.
idbag explained by NHibernate: "NHibernate provides a feature that allows you to map many to many associations and collections of values to a table with a surrogate key. The <idbag> element lets you map a List (or Collection) with bag semantics"
In the end the mappings were changed to
Trust