If it's an MSX game, and it's just the MSX binary, it's impossible for it to contain a Windows Trojan, since it can't even run on Windows, and Windows antivirus software doesn't detect viruses running on other systems and hardware.
However, if it's an executable file, then be very careful, as it's not normal to distribute an emulator along with the game's ROM.
Sure, it's possible, but the issue isn't whether it's possible or not, but whether a Windows antivirus can detect that, and the answer is categorical: it can't, because it would have to analyze the code of a script against a specific emulator vulnerability (and we're talking about a very small niche of 8-bit games), and that's not how antivirus programs work in Windows.
