AFAIK, while the PSII and PSIII roms do work in emulators, none of those games are really emulated.
In PS1-3, I think Sega just ported the source code over so it would run on the Saturn, and uses the ROMs for loading data. The ROMs are loaded entirely, since they fit on the RAM.
Since PSIV wouldn't fit on the Saturn's RAM, Sega had to reprogram the game to add some loading points to it.
So... in order to get PSI-III working, you need to hack the games themselves. They expect data to be in very specific locations within the ROMs, and obviously the data location is not the same in the US versions.