I found some "rogue" uploads of Aether2SX (a fork of PCSX2)
Set your Xbox region to Brazil and click on this link on your XBox's browser
(if it's not clickable then copy/paste it using the start/menu button)
ms-windows-store://pdp/?productid=9NN0N9D0JM8F
again this version is only available in Brazil, so setting your Xbox to brazil is important, you can change it back of course after you downloaded it
don't let the icon and name of the app confuse you. I think they want to be very undercover (although I don't really think this helps much)
this version seems to be feature complete tho and should have save states
edit: SAVESTATES WORK! just tested it.
this version also has the sticks preconfigured so no weird diagonal inputs. and you can change the menu shortcut
I will try to keep the first post in this thead up to date with these rogue PCSX2/Aether2SX uploads