I couldn't get CAVE to run in fullscreen using demul at first although dreamcast/naiomi/atomiswave were all fine. ended up adding this ahk script to do it for me...not fantastic but it does work.
run,"E:\Tools\nomousy\nomousy.exe" "/hide";
sleep 2000
Send {F3};
sleep 500
send !{Enter};
Esc::
Send !{f4} ; Simulates the keypress alt+f4
run,"E:\Tools\nomousy\nomousy.exe" "/hide"
return ;