Okay Brad I got it working. I ended up getting rid of the AHK as that was the issue with it. As some may know, the automation process does not work with Mednafen. I have my automation process set up to hold the BACK button on my controller and to press the START button to exit. In Mednafen, you could remap the buttons, especially to a combination. You have to hold the SHIFT key and press F2.
Anyway, thanks for all of the help and for replying so fast. Excellent community over here!