@eberhab After more research it turns out that this is a "Pro Controller" related issue which affects all cores and emulators. It has already been beautifully solved here: https://retropie.org.uk/forum/topic/16503/how-to-connect-a-switch-pro-controller-with-analog-stick-without-xboxdrv

That makes sense now. Thank you.

@RetroFox

It's possible to have Daphne exit with the combination you want by using an external mapping solution. I have all all my emulators exit using 'select+start' to match the RetroArch scheme. You can find a guide here tailored specifically to RetroPie. The learning curve is somewhat steep, so you'll want to decide if the juice is worth the squeeze.

That gamepad seems to already have a configuration file, see here:
https://github.com/xbmc/peripheral.joystick/blob/Krypton/peripheral.joystick/resources/buttonmaps/xml/linux/usb_gamepad____________10b_2a.xml
Although it has only the game.controller.snes profile defined. This profiles are mainly for the RetroPlayer engine/emulators, to play games inside Kodi, which will only be officially available in Kodi 18. So try what TheDataCereal said, which is basically manual mapping one of this profiles in the Kodi interface, I also recommend using the default one.

PS1: The gamepad configuration examples on RetroPie wiki are outdated, they are for Kodi < 17. The new ones have the format like the one posted above. In your case you should be able to do everything in the Kodi user interface, no need to create/edit the xml file.
PS2: Yes, it can have spaces after the name.

@daixtrose well it does say Hold down any button on your keyboard or gamepad

Though the heading implies controllers (as the majority of people using retropie use controllers) I could make it more agnostic by calling it configure controls anyways I'll have a think on it.

Appreciate the feedback

@BuZz Switched to UAE4ARM and now the gamepads work without any problems! Thank you! Spent some time trying to figure this out and messing with xboxdrv... :-) :-). Now it just works.