When you select Game/Open, the window shows you the
content of the previous opened folder. If this folder
has been deleted you don't see any content. If you try
to type something with the keyboard (such as giving an
absolute path), a segmentation fault crashes (probably
in the process of matching the entered name with the
content of the folder). So you cannot change the folder
and you're stuck. The only solutions are to recreate
the folder of to delete/modify ~/.zsnes/zsnesl.cfg.
The bug happen on Linux.