It wasn't ZSNES, it was your keyboard not accepting input from three keys at once !!! I know because I remember this exact thing.
from:
https://github.com/snes9xgit/snes9x/blob/master/docs/changes...
0.72 released
...
- This time really fixed Allegro library keyboard handling (DOS port); it was missing key some presses/releases (was stopping Chrono Trigger Left + Right + A button combo from working).
[1]: http://zsnes-docs.sourceforge.net/html/faq.htm#universal_inp...