Two things to try.
1. copy your doom2.wad to pandora/appdata/prboom/ and if the name of the doom2.wad is all lowercase then probably better (I know some ports where picky about upper/lowercase naming of the official ID wads).
2. redownload the prboom pnd, maybe it got corrupt for some reason.
If you have your doom2.wad in the appropriate appdata folder then you can actually just cancel the selector dialog and it should still boot into doom2. I'm actually thinking that the selector is for loading add-on wads, not the official ones.