AetherSX2 is a bit of a mess and the reasoning for what you're seeing could be very version specific. Typically the versions where it did work, AetherSX2 needed file permissions given to it by opening it up stand alone. Sometimes you had to point it to the location your roms were in and give it permissions to that as well. Another potential issue would be that you don't have the required BIOS files.
That all being said if you're using the PlayStore version of AetherSX2 there are several known issues put there intentionally by the uploader and the emulator is no longer being developed meaning they'll remain in that version. You'll want to find the apk for version 1.5.3668 and then stay on that.