Thrill Kill *does* work on this emu and on base WiiSXRX, but there is a trick to it.
The game was set up to have a warning screen where you have to hit square and X(Y & B on the Wii classics controller) simultaneously to proceed. Unfortunately this shows itself as a blank black screen which leads you to think the game doesn't work. I think this was intended as some kind of childproofing and the emulators just aren't showing this screen correctly. I had the bootleg back in the day and I remember it asking you to proceed but not the black screen. So it's probably an emulator thing.
Also there are quite a few versions of this floating around. You need to find the one that has all the character endings. Also I don't think it ever had background music since Paradox supposedly leaked it and didn't want to infringe on the music creator's property rights. Although in my research I also read that someone might have added music back to it. So is it there or isn't it there? Not sure.
I have two different versions. One has 14 tracks according to WiiSXRX, loads a proper FMV game intro title screen, "other" in options has 4 options. The other has 13 tracks according to WiiSXRX, loads what I've read is Oddball's ending but no official intro, and "other" in options has 3 options. I'm assuming the 14 track version has all the endings, but I'm going to have to play to find out.