I'm not too familiar with Amiga and WHDLoad games.
I did do a quick test with WHDLoad files, loading into the puae.libretro core in RetroArch and games did seem to load up just fine.
Is this the emulator/core you are using? If so, you may want to go to Tools > Manage > Emulators > RetroArch, check out the Dependency Files section and make sure you have the necessary bios files in there. I did notice that certain games I tried didn't work until the necessary dependency files were present there.
Maybe someone else with more WHDLoad Amiga experience could chime in.