I'm installing via the web interface of retropie manager.
I don't think I've ever tried to install anything using the web interface.
I usually transfer them over using something like FileZilla, WinSCP or Cyberduck.
https://retropie.org.uk/docs/Transferring-Roms/#sftp
Not, you might need to enable SSH before you can do this.
https://retropie.org.uk/docs/SSH/#enable-ssh
Also check your .cue file and make for dang sure that the .bin file referenced in the .cue file is the exact same case.
https://retropie.org.uk/docs/PC-Engine/#pc-engine-cd
(Linux filenames are case sensitive but Windows is not)