I wonder why emulators aren't a common attack vector. They're fairly popular, and downloading ROMs from mysterious shady sites is par for the course with them. If you could subvert a popular ROM site, or even just SEO your way to the top of the Google listings, you could get a lot of people.
Probably because they'd just infect the emulator with some payload rather than figure out an exploit vector that depended on the payload being opened in the emulator later.