if your dolphinbar isnt recognized as a mouse+kb then its in the wrong mode. i believe the correct mode is #2
[EDIT sorry i read your question wrong.
I think the easiest way to achieve what you want, is to just go into the retroarch menu after you launched the game, back out to the main menu, select "input" and bind your button there.
I've always had my coin and start buttons bound to a separate controller while using the Wii mote as a lightgun.