Download retropie image and flash your micro SD

Beware, Pi zero has 2 micro USB ports :  one on the right for power, the second (between the other micro-USB and micro-HDMI port) for USB device like the gamepad (or a keyboard).

Connect :

1/ the HDMI cable to your TV,
2/ connect the power cableto your TV (or to a power adapter if your TV doesn’t offer USB port),
3/ connect the OTG cable with the game pad.

The first run will extend the partition and automatically reboot.

Then, retropie will ask you to setup the controller.

Simply press each key and, when done, do a long press to ignore keys not present on your controller.

You can then shutdown the pi (start > quit > shutdown > yes), wait it to stop and un-connect the USB power cable (on the right side on your Pi Zero).

Remove the micro-sd card and copy ROMs into the correct folder on /home/retropie/ROMS/

Reconnect the USB power cable and enjoy your games !

NeoGeo controls didn’t worked so I had to edit /opt/retropie/emulators/config/fba/fba2x.cfg file and change START and SELECT mapping, see https://github.com/retropie/retropie-setup/wiki/Neo-Geo like :

[Joystick]
# Get codes from "jstest /dev/input/js0"
# from package "joystick"
A_1=3
B_1=1
X_1=2
Y_1=0
L_1=4
R_1=5
START_1=9
SELECT_1=8