Any of the OS's that worked with previous models of Pi's should work with the Pi Zero and the Zero W.
I'm assuming you already have found the steps required to do the installation, so I'll leave that out of my answer for now.
The bigger problem you are going to face is performance. The Pi Zero and Zero W both use a 1GHz single-core CPU and 512MB RAM. According to this source the Pi Zero supposedly performs slightly better than the first generation Pi's. But falls a long way short of the performance of the Pi 2.
The minimum to run psx emulations is a Pi 2 or Pi 3 but emulations of much older consoles should work. I suggest you check out this thread for details.