Its a known issue. Its related to the emulator itself. You can install lr-mgba from the setup script (it might be in experimental, I can’t remember)

See:

https://github.com/RetroPie/RetroPie-Setup/issues/914

Or you can switch to gpsp from the run command menu as the game loads or a tedious workaround is to open the rgui of lr-gpsp and load the game from there as that seems to be the only way to get it to load short of using a different emulator.