Thanks for you answer!
I didn't know about the different emulators but I was using Mupen64plus which has his own config...
I tried lr-mupen64plus but the cinematics appears black sometimes and the game crashed a few times...
So a (re)switch on Mupen64plus.
Just in case someone has the same issue I drop here the configuration issue I had:
In the config file (/opt/retropie/configs/from_retropie/configs/n64/mupen64plus.cfg) I had this line:
The combination B10 (hotkeys) and B9 (start) seems to be ok for me BUT my controller was J0 not J1. It fix the "stop emulator" command. Now I have to check for the load/save state commands.
Thanks again for you answer. It really helped me :-)