I am in the same boat. Unfortunately I didn't see this post hours ago when I started troubleshooting the issue. I was able to figure out what @32assassin suggested.
However I will tell you that the built in BIOS for Swanstation is not good. You MUST source a BIOS to use and place it in the folder below.
C:\HyperSpin\emulators\RetroArch\system
The file path may vary based on where your HyperSpin folder is located.
I've heard of a way to get a usable Playstation BIOS from the PS3 update file. I will not post anymore about that as I am not sure about the legality of this method to obtain the BIOS.
The only problem I have now is getting HyperSpin to work properly after exiting the game that is running in RetroArch...