I have the same problem with the Iso file, but i found a solution for this problem:
The PC Engine Cd Emulator only read the roms in a bin/cue format. So i did the next:
1St. Donwload the rom from a confiable website (emuparadise or romhustler). All this roms are in Iso file.
2nd. Convert the Iso file to Bin with Winiso (tools, convert file)
3th. Don't use the new cue file. Use the cue file that comes with Iso file). Change the extension of this file to .bin.
4th. Copy the bin file and the cue file modified in the roms file of Pc Engine cd of Recalbox. Check the right name of the file (bin and cue) like this example:
1.- Original Iso file: Lord_Of_Thunder_(0005).ISO
Original Cue file: Same name
2.-Convert the iso file to bin: Lord_Of_Thunder_(0005).bin
3.-Change the extension of the original Cue file: With word pad or another block open the file and change .ISO to .bin
4.- Copy The bin file and cue modified in the Pc Engine Cd rom file.
5.- Check the right bios