I could use some help getting to the log files and seeing what it says is happening at the launch of the title.
After trying to run a PC Engine game, have a look at the Runcommand debugging log file:
/dev/shm/runcommand.log
Also are you trying to run a CD based game or a ROM? If you're running a CD based game make sure all the files are unzipped (& unrar'd). I think there is .bin & .cue files. Look inside the .cue file and make sure the filename case is the same as the .bin's filename. Linux filenames are case sensitive!
For example, say the bin filename is "Gate of Thunder.bin" look inside the "Gate of Thunder.cue" and make sure the case matches:
FILE "Gate of Thunder.bin" BINARYMost of the ones I've downloaded off the net have something like "GATE OF THUNDER.BIN" which does not match!