Have you tried to see if the cable is working - on another device ? Are you using a proper power source for your Pi ?
Unfortunately without a keyboard or without using SSH is going to be difficult to diagnose this. Is your Pi Zero the W model, with WiFi ?

Nvm I feel like an idiot...Just had to go to Retropie setup >Configuration / tools>>autostart emulation station at boot

I’ll add this to the docs. It does say to select Atari Joystick, but it’s down in the lr-Atari emulator section and 5200 users may not read to there though they should.