I don't know for DOS, maybe you have to do it manually with the core (Hotkey + A) or use an other emulator/core (in the basic menu of emu station)
For ScummVM it's definitely possible, I did it, and did a video but I don't know why the capture didn't work for SCUMMVM ??
Anyway I try to reproduce what I saw on screen (you have to access the options menu basically, then "Return to launcher"). I don't remember witch key it is... (ESC ? F2 ? F12 ?)