thats right. i've tried it:
you have a game. its Mario all stars.
but you call it just mario (because its shorter)
you load it in your gp32 with the same name.
now you are starting you znes emulator. you can play as long as you want.
now you want to save your game.
( e.g. you select save state 1) after that you are saving your save state.
-you can find it on your computer called
mario.zs1
now you are loading this save state into your gp32.
now you are selection the snes game mario with os9xgp.
after that you are loading the save state 1(there is no picture)
that's it
with this action it is possible to run Mario RPG.
but its toooooo sloooooow. B)