Should be fixed in the latest upload. Try re-downloading.
Let me know if the issue persists, or better yet, open a bug report in the game's Discord server!
Viewing post in House of Shinobi v0.25 (Public Release + Web Version) comments
It's fixed now. Thank you so much. I realized the problem is the language change: it's like it also modifies the base code, and this causes it to look for completely different files when you click an option, because their names were changed by the translation. Or well, that's what I think, I don't know if that makes sense. But basically: if you set it to English, the bug doesn't happen and the scenes load correctly.