Not sure if you managed to sort this, but I have just managed to transfer save files from OpenEmu to Retropie successfully.
You can only transfer battery saves though (.sav) which means only games which allow you to save in game.
You cannot transfer OpenEmu save states (.oesavestate) as far as I can tell.
To transfer battery saves, copy and paste the .sav file into your retropie ROM folder, ensure the name is the same as the ROM, then change the file to .srm (literally just type it).
OpenEmu battery save: Earthbound.sav
Retropie battery save: Eathbound.srm
Once you’ve done that, restart emulation station, load your rom, and your save game will automatically be there.
Appreciate this is an old post, but I’ve just spent the last 2 days trying to figure this out and just managed it by trial and error.