I want to put, for example, a NES ROM on my home screen (which you can already do with many Android launchers) and launch it with RetroArch.
Or if there's any other way to do this, that would be great.
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These things are generally app related. In your specific example the app doesn't support such widgets so, as far as I know, it wouldn't be possible. Some other ROM emulators might be more capable. Also it's probably worth requesting it as a feature to the developers. And lastly your questions was better suited for the Android StackExchange sub-site.