Do a 5 minute google search on KoF '95 on the Saturn and then post here with one guess as to what your issue is. What's happening is painfully obvious to anyone who owns a Japanese Saturn and is into SNK or Capcom fighting games (or to anyone who can read Japanese).
One thing puzzles me. If you are using an emulator to play a KOF game, why not just emulate the NeoGeo version straight away? I'm sure it's superior to any ported version
The Neo Geo version is superior, but not by a long shot. Still, if someone insists on emulating it, why use an inferior version? Nevertheless, that screen is the "RAM cart missing" screen. I don't know much about Saturn emulation, so I don't know if RAM carts have been emulated or not.