where are these savestates from? your pc or a previous save using osnes?
if you are using a savestate from your pc, I don't believe its compatable with yoyo's osnes (many thanks go to Ressy for the excellent sound clarity). Sram, however, is compatable (or so I've heard; I have yet to try it).
If you are not aware of the difference between savestates and sram, sram is the ingame save (automatically saved upon exiting to the emu's menu). Street fighter, for example, does not use sram; there are no ingame saves. A game like Zelda, however, does include a cartidge, or sram, save feature.
edit- or maybe i misunderstood; can you simply not load your savestates that you have saved with your gp32? If this is the case, try reinstalling osnes and be sure to follow the readme for directions. Also, are you using zipped roms?